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Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation

Stefano Iacus (), Lorenzo Mercuri and Edit Rroji

Journal of Time Series Analysis, 2018, vol. 39, issue 5, 787-809

Abstract: In this article, we construct a sequence of discrete‐time stochastic processes that converges in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the COGARCH(p,q) on irregularly spaced time series data. The proposed estimation procedure is based on the maximization of a pseudo log‐likelihood function and is implemented in the yuima package.

Date: 2018
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Handle: RePEc:bla:jtsera:v:39:y:2018:i:5:p:787-809