Asymmetric COGARCH processes
Statistics Theory
2014-03-28 v1 Probability
Statistics Theory
Abstract
Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data. We discuss some asymmetric versions of the continuous-time GARCH model, concentrating then on the GJR-COGARCH. We calculate higher order moments and extend the first jump approximation. These results are prerequisites for moment estimation and pseudo maximum likelihood estimation of the GJR-COGARCH parameters, respectively, which we derive in detail.
Cite
@article{arxiv.1403.7068,
title = {Asymmetric COGARCH processes},
author = {Anita Behme and Claudia Klüppelberg and Kathrin Mayr},
journal= {arXiv preprint arXiv:1403.7068},
year = {2014}
}
Comments
15 pages, 1 figure