Discrete Time Approximation of a COGARCH(p,q) Model and its Estimation (Preliminary Version)

11 Pages Posted: 3 Nov 2015

See all articles by Stefano Maria Iacus

Stefano Maria Iacus

University of Milan - Department of Economics, Business and Statistics

Lorenzo Mercuri

University of Milan

Edit Rroji

Polytechnic University of Milan - Department of Mathematics

Date Written: November 1, 2015

Abstract

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

Suggested Citation

Iacus, Stefano Maria and Mercuri, Lorenzo and Rroji, Edit, Discrete Time Approximation of a COGARCH(p,q) Model and its Estimation (Preliminary Version) (November 1, 2015). Available at SSRN: https://ssrn.com/abstract=2684726 or http://dx.doi.org/10.2139/ssrn.2684726

Stefano Maria Iacus

University of Milan - Department of Economics, Business and Statistics ( email )

Via Conservatorio 7
Milano, 20122
Italy
+390250321461 (Phone)
+3950321505 (Fax)

HOME PAGE: http://www.economia.unimi.it/iacus

Lorenzo Mercuri (Contact Author)

University of Milan ( email )

Via Festa del Perdono, 7
Milan, 20122
Italy

Edit Rroji

Polytechnic University of Milan - Department of Mathematics ( email )

Via Bonardi, 9
Milano, MI 20133
Italy

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