Moment based estimation for the multivariate COGARCH(1,1) process

26 Sep 2019 Sousa Thiago do Rêgo Stelzer Robert

For the multivariate COGARCH process, we obtain explicit expressions for the second-order structure of the "squared returns" process observed on an equidistant grid. Based on this, we present a generalized method of moments estimator for its parameters... (read more)

PDF Abstract
No code implementations yet. Submit your code now

Categories


  • STATISTICS THEORY
  • METHODOLOGY
  • STATISTICS THEORY