Discrete time approximation of a COGARCH(p,q) model and its estimation
Statistics Theory
2015-12-08 v2 Statistics Theory
Abstract
In this paper, we construct a sequence of discrete time stochastic processes that converges in probability and in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the continuous model defined for irregularly spaced time series data. The estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented in the yuima package.
Keywords
Cite
@article{arxiv.1511.00253,
title = {Discrete time approximation of a COGARCH(p,q) model and its estimation},
author = {Stefano M. Iacus and Lorenzo Mercuri and Edit Rroji},
journal= {arXiv preprint arXiv:1511.00253},
year = {2015}
}