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Document type:
Zeitungsartikel 
Author(s):
Do Rêgo Sousa, T., Haug, S., and Klüppelberg, C. 
Title:
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...    »
 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Scandinavian Journal of Statistics 
Year:
2019 
Quarter:
3. Quartal 
Month:
Aug 
Journal issue:
46 
Pages contribution:
765-801 
Language:
en 
Fulltext / DOI:
WWW:
_blank 
Status:
Preprint / submitted 
Accepted:
15.10.2018 
Date of publication:
06.08.2019 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text