Method of Moment Estimation in the Cogarch(1,1) Model

By Stephan Haug, Claudia Klüppelberg, A. Lindner, Matthias Zapp. 2007

71 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c89d18367197ebe8b66b2bb4e7a4ea16ad0b4853

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Gernot J. Müller
2. Alexander Szimayer
3. Ross Maller
4. Peter J. Brockwell
5. V. Todorov

In Finance

1. Gernot J. Müller
2. Alexander Szimayer
3. Ross Maller
4. Peter J. Brockwell
5. A. Lindner
6. Ken-iti Sato
7. Claudia Klüppelberg
8. Andreas E. Kyprianou

In Statistics and Probability

1. Ross Maller
2. Gernot J. Müller
3. Alexander Szimayer

Citations in the corpus

• Ornstein–Uhlenbeck Processes and Extensions (2009, methodology): “Via some simulations, this is shown to work somewhat better, in some selected situations, than the Haug et al. (2007) method, at least as judged by the mean square error of the estimates.”
• GARCH modelling in continuous time for irregularly spaced time series data (2008, methodology): “(In (2.12), we have adopted the parameterization of [ 9 ], which differs somewhat from that of [14]; the latter used 0 0, with e � = �, and used �/�, for another parameter”