In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to a COGARCH(p, q) model. The result is useful for the estimation of the COGARCH(p, q) 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 yuima package.
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation / S.M. Iacus, L. Mercuri, E. Rroji. - In: JOURNAL OF TIME SERIES ANALYSIS. - ISSN 0143-9782. - 39:5(2018 Sep), pp. 787-809. [10.1111/jtsa.12406]
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation
S.M. IacusPrimo
;L. Mercuri
Penultimo
;
2018
Abstract
In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to a COGARCH(p, q) model. The result is useful for the estimation of the COGARCH(p, q) 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 yuima package.
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