Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M. - In: Econometrics Journal 10 (2007) 2, pp. 320-341
We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are strongly mixing with exponential rate, we show that the resulting estimators are consistent and...
