Higher Moments and Prediction-Based Estimation for the COGARCH(1,1) Model
作者： Enrico Bibbona , Ilia Negri
DOI: 10.1111/SJOS.12142
关键词: Probability and statistics 、 Mathematics 、 Estimation 、 Estimation theory 、 Autoregressive conditional heteroskedasticity 、 Econometrics
摘要: COGARCH models are continuous time version of the well known GARCH nancial returns. They solution a stochastic dierential
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