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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Behme, A., Klüppelberg, C., and Mayr, K. 
Titel:
Asymmetric COGARCH processes 
Abstract:
Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data. We discuss some asymmetric Versions of the continuous-time GARCH model, concentrating then on the GJR-COGARCH. We calculate higher order moments and extend the first jump Approximation. These results are prerequisites for Moment estimation and pseudo Maximum likelihood estimation of the GJR-COGRCH Parameters, respecti...    »
 
Stichworte:
APCOGARCH, Asymmetric Power COGARCH; COGARCH; Continuous-time GARCH; First-Jump Approximation; GJR-GARCH; GJR_COGARCH; High-frequency Data; Maximum-Likelihood Estimation; Method of Moments, Stochastic Volatility 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Journal of Applied Probability 
Jahr:
2014 
Band / Volume:
51A 
Seitenangaben Beitrag:
161-173 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik