Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation
Stefano Iacus (),
Lorenzo Mercuri and
Journal of Time Series Analysis, 2018, vol. 39, issue 5, 787-809
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.
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:39:y:2018:i:5:p:787-809
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782
Access Statistics for this article
Journal of Time Series Analysis is currently edited by M.B. Priestley
More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().