Method of moment estimation in the COGARCH (1,1) model
Haug, S Et al.
Method of moment estimation in the COGARCH (1,1) model J8302 2007 - 2007 - 320-341 V. 10 Issue. 2
Econometrics
Continuous time GARCH process;GARCH process;Levy processess;Moment estimator;Stochastic volatility;Volatility estimation;
Method of moment estimation in the COGARCH (1,1) model J8302 2007 - 2007 - 320-341 V. 10 Issue. 2
Econometrics
Continuous time GARCH process;GARCH process;Levy processess;Moment estimator;Stochastic volatility;Volatility estimation;