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Titel:

Method of moment estimation in the COGARCH(1,1) model

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Haug, S., Klüppelberg, C., Lindner, A. and Zapp, M.
Abstract:
We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are strongly mixing with exponential rate, we show that the resulting estimators are consistent and asymptotically normal. We investigate the empirical quality of our estimators in a simulation study based on the variance gamma driven COGARCH(1,1) model. The estimated volatility with corresponding residual an...     »
Stichworte:
continuous time GARCH process, GARCH process, Levy process, moment estimator, stochastic volatility, volatility estimation
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
The Econometrics Journal
Jahr:
2007
Band / Volume:
10
Heft / Issue:
2
Seitenangaben Beitrag:
320-341
Nachgewiesen in:
Scopus
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1111/j.1368-423X.2007.00210.x
Status:
Postprint / reviewed
Semester:
SS 07
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX