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Dokumenttyp:
Zeitungsartikel 
Autor(en):
do Rego Sousa, T., Haug, S., and Klüppelberg, C. 
Titel:
Indirect Inference for Lévy-driven continuous-time GARCH models 
Abstract:
We advocate the use of an Indirect Inference method to estimate the parameter of a COGARCH(1,1) process for equally spaced observations. This requires that the true model can be simulated and a reasonable estimation method for an approximate auxiliary model. We follow previous approaches and use linear projections leading to an auxiliary autoregressive model for the squared COGARCH returns. The asymptotic theory of the Indirect Inference estimator relies on a uniform SLLN and asymptotic normalit...    »
 
Stichworte:
Asymptotic normality, Bias reduction, COGARCH, Continuous-time GARCH, Indirect Inference estimation, Projection methods, SLLN 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Preprint 
Jahr:
2018 
Jahr / Monat:
2018-08 
Quartal:
3. Quartal 
Monat:
Aug 
Sprache:
en 
WWW:
_blank 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text