COGARCH processes are Lévy driven continuous time version of well known GARCH models for modeling high-fequency financial returns. We firstly discuss the properties about Lévy processes such as symmetric and asymmetric COGARCH models. These results are prerequisites to draw statistical inference from irregularly spaced observations. In particular, we focus on the pseudo-maximum likelihood method in order to extend some asymptotic results to the asymmetric model.
(2014). COGARCH processes: theory and asymptotics for the pseudo-maximum likelihood estimator. (Tesi di dottorato, Università degli Studi di Milano-Bicocca, 2014).
COGARCH processes: theory and asymptotics for the pseudo-maximum likelihood estimator
IANNACE, MAURO
2014
Abstract
COGARCH processes are Lévy driven continuous time version of well known GARCH models for modeling high-fequency financial returns. We firstly discuss the properties about Lévy processes such as symmetric and asymmetric COGARCH models. These results are prerequisites to draw statistical inference from irregularly spaced observations. In particular, we focus on the pseudo-maximum likelihood method in order to extend some asymptotic results to the asymmetric model.
| File | Dimensione | Formato | |
|---|---|---|---|
|
phd_unimib_702148.pdf
accesso aperto
Tipologia di allegato:
Doctoral thesis
Dimensione
1.84 MB
Formato
Adobe PDF
|
1.84 MB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
