GARCH modelling in continuous time for irregularly spaced time series data
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References listed on IDEAS
- Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
- Szimayer, Alex & Maller, Ross A., 2007. "Finite approximation schemes for Lévy processes, and their application to optimal stopping problems," Stochastic Processes and their Applications, Elsevier, vol. 117(10), pages 1422-1447, October.
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Cited by:
- Rodríguez-Bernal, M. T. & Romero, E., 2016. "ABC and Hamiltonian Monte-Carlo methods in COGARCH models," DES - Working Papers. Statistics and Econometrics. WS ws1601, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francesco Bianchi & Lorenzo Mercuri & Edit Rroji, 2022. "Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 57-85, March.
- Enrico Bibbona & Ilia Negri, 2015. "Higher Moments and Prediction-Based Estimation for the COGARCH(1,1) Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 891-910, December.
- Léo Parent, 2022. "The EWMA Heston model," Post-Print hal-04431111, HAL.
- Stelzer, Robert, 2009. "First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 1932-1951, June.
- Müller, Gernot & Durand, Robert B. & Maller, Ross A., 2011. "The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 306-320, March.
- P. Brockwell, 2014. "Recent results in the theory and applications of CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(4), pages 647-685, August.
- Ghysels, Eric, 2014. "Factor Analysis with Large Panels of Volatility Proxies," CEPR Discussion Papers 10034, C.E.P.R. Discussion Papers.
- Lee, Oesook, 2012. "V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 812-817.
- Rodríguez Bernal, M. T. & Romero, Eva, 2013. "Data cloning estimation of GARCH and COGARCH models," DES - Working Papers. Statistics and Econometrics. WS ws132723, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Yildirim, Yavuz & Unal, Gazanfer, 2010. "From Discrete to Continuous: Modeling Volatility of the Istanbul Stock Exchange Market with GARCH and COGARCH," MPRA Paper 27946, University Library of Munich, Germany.
- Thiago do Rêgo Sousa & Robert Stelzer, 2022. "Moment‐based estimation for the multivariate COGARCH(1,1) process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 681-717, June.
- Iacus, Stefano M. & Mercuri, Lorenzo & Rroji, Edit, 2017. "COGARCH(p, q): Simulation and Inference with the yuima Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 80(i04).
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