Likelihood inference for a COGARCH process using sequential Monte Carlo
Year of publication: |
2019
|
---|---|
Authors: | Wee, Damien C.H. ; Chen, Feng ; Dunsmuir, William T.M. |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 2, p. 229-253
|
Subject: | COGARCH | high-frequency data | Lévy process | maximum likelihood estimation | sequential Monte Carlo | Monte-Carlo-Simulation | Monte Carlo simulation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
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