Estimating the COGARCH(1,1) model: a first go
Year of publication: |
2005
|
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Authors: | Haug, Stephan ; Klüppelberg, Claudia ; Lindner, A. ; Zapp, M. |
Publisher: |
München : Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen |
Subject: | continuous time GARCH process | GARCH process | Lévy process | moment estimators | stochastic volatility | volatility estimation |
Series: | Discussion Paper ; 458 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5282/ubm/epub.1827 [DOI] 510823130 [GVK] hdl:10419/31013 [Handle] |
Classification: | C23 - Models with Panel Data ; C52 - Model Evaluation and Testing |
Source: |
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