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

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  • S. Haug
  • C. Kl�ppelberg
  • A. Lindner
  • M. Zapp
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    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 analysis is also presented. Finally, we fit the model to high-frequency data. Copyright Royal Economic Society 2007

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2007.00210.x
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    Bibliographic Info

    Article provided by Royal Economic Society in its journal Econometrics Journal.

    Volume (Year): 10 (2007)
    Issue (Month): 2 (07)
    Pages: 320-341

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    Handle: RePEc:ect:emjrnl:v:10:y:2007:i:2:p:320-341

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    Cited by:
    1. Lee, Oesook, 2012. "V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 812-817.
    2. J. Miguel Marín & M. T. Rodríguez Bernal & Eva Romero, 2013. "Data cloning estimation of GARCH and COGARCH models," Statistics and Econometrics Working Papers ws132723, Universidad Carlos III, Departamento de Estadística y Econometría.

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