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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
Keywords:
continuous time GARCH process, GARCH process, Levy process, moment estimator, stochastic volatility, volatility estimation
Dewey Decimal Classification:
510 Mathematik
Journal title:
The Econometrics Journal
Year:
2007
Journal volume:
10
Journal issue:
2
Pages contribution:
320-341
Covered by:
Scopus
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1111/j.1368-423X.2007.00210.x
Status:
Postprint / reviewed
Semester:
SS 07
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX