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Title:

Indirect inference for Lévy-driven continuous-time GARCH models.

Document type:
Zeitungsartikel
Author(s):
Do Rêgo Sousa, T., Haug, S., and Klüppelberg, C.
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...     »
Dewey Decimal Classification:
510 Mathematik
Journal title:
Scandinavian Journal of Statistics
Year:
2019
Journal volume:
46
Year / month:
2019-09
Quarter:
3. Quartal
Month:
Sep
Journal issue:
3
Pages contribution:
765-801
Language:
en
Fulltext / DOI:
doi:10.1111/sjos.12371
Publisher:
Wiley
Status:
Erstveröffentlichung
Submitted:
28.12.2017
Accepted:
15.10.2018
Date of publication:
06.08.2019
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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