Method of moment estimation in the COGARCH(1,1) model

Econometrics Journal

Volumn 10, Issue 2, 2007, Pages 320-341

  Haug, S ^a   Kluppelberg C ^a   Lindner, A ^b   Zapp, M ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b PHILIPPS UNIVERSITY MARBURG   (Germany)

Author keywords

Continuous time GARCH process; GARCH process; L vy process; Moment estimator; Stochastic volatility; Volatility estimation

Indexed keywords

EID: 34347378271     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2007.00210.x     Document Type: Article

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