Likelihood inference for a COGARCH process using sequential Monte Carlo
Damien C.H. Wee, Feng Chen, William T.M. Dunsmuir
| Year of publication: |
2019
|
|---|---|
| Authors: | Wee, Damien C.H. ; Chen, Feng ; Dunsmuir, William T.M. |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 2, p. 229-253
|
| Subject: | COGARCH | high-frequency data | Lévy process | maximum likelihood estimation | sequential Monte Carlo | Monte-Carlo-Simulation | Monte Carlo simulation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054439