Discrete‐Time Approximation of a Cogarch(,) Model and its Estimation

23 Pages Posted: 20 Aug 2018

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: September 2018

Abstract

In this article, we construct a sequence of discrete‐time stochastic processes that converges in the Skorokhod metric to a COGARCH(,) model. The result is useful for the estimation of the COGARCH(,) 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 package.

Keywords: COGARCH(p,q) process, Skorokhod distance, pseudo log‐likelihood estimation

Suggested Citation

Iacus, Stefano Maria and Mercuri, Lorenzo and Rroji, Edit, Discrete‐Time Approximation of a Cogarch(,) Model and its Estimation (September 2018). Journal of Time Series Analysis, Vol. 39, Issue 5, pp. 787-809, 2018. Available at SSRN: https://ssrn.com/abstract=3233269 or http://dx.doi.org/10.1111/jtsa.12406

Stefano Maria Iacus (Contact Author)

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

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

Register to save articles to
your library

Register

Paper statistics

Downloads
1
Abstract Views
34
PlumX Metrics