FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2999361908> ?p ?o ?g. }

• W2999361908 endingPage "801" @default.
• W2999361908 startingPage "765" @default.
• W2999361908 abstract "Abstract We advocate the use of an Indirect Inference method to estimate the parameter of a COGARCH(1,1) process for equally spaced observations. This requires that the true model can be simulated and a reasonable estimation method for an approximate auxiliary model. We follow previous approaches and use linear projections leading to an auxiliary autoregressive model for the squared COGARCH returns. The asymptotic theory of the Indirect Inference estimator relies on a uniform strong law of large numbers and asymptotic normality of the parameter estimates of the auxiliary model, which require continuity and differentiability of the COGARCH process with respect to its parameter and which we prove via Kolmogorov's continuity criterion. This leads to consistent and asymptotically normal Indirect Inference estimates under moment conditions on the driving Lévy process. A simulation study shows that the method yields a substantial finite sample bias reduction compared with previous estimators." @default.
• W2999361908 created "2020-01-23" @default.
• W2999361908 creator A5013593975 @default.
• W2999361908 creator A5014518317 @default.
• W2999361908 creator A5029091099 @default.
• W2999361908 date "2019-01-10" @default.
• W2999361908 modified "2023-09-24" @default.
• W2999361908 title "Indirect Inference for Lévy‐driven continuous‐time GARCH models" @default.
• W2999361908 cites W1511751337 @default.
• W2999361908 cites W1533792492 @default.
• W2999361908 cites W1753232130 @default.
• W2999361908 cites W1975535903 @default.
• W2999361908 cites W1987648100 @default.
• W2999361908 cites W1991396442 @default.
• W2999361908 cites W1995522593 @default.
• W2999361908 cites W2007742850 @default.
• W2999361908 cites W2022695740 @default.
• W2999361908 cites W2036371399 @default.
• W2999361908 cites W2047021099 @default.
• W2999361908 cites W2052159483 @default.
• W2999361908 cites W2052870242 @default.
• W2999361908 cites W2080290680 @default.
• W2999361908 cites W2086546462 @default.
• W2999361908 cites W2120097254 @default.
• W2999361908 cites W2124451329 @default.
• W2999361908 cites W2136506776 @default.
• W2999361908 cites W2138388150 @default.
• W2999361908 cites W2146628621 @default.
• W2999361908 cites W2169829317 @default.
• W2999361908 cites W2626983960 @default.
• W2999361908 cites W2748579373 @default.
• W2999361908 cites W2963120301 @default.
• W2999361908 cites W3022439851 @default.
• W2999361908 cites W3105664932 @default.
• W2999361908 cites W3123484398 @default.
• W2999361908 cites W4205976284 @default.
• W2999361908 cites W4239250529 @default.
• W2999361908 cites W4240985388 @default.
• W2999361908 cites W4246839357 @default.
• W2999361908 cites W4248104870 @default.
• W2999361908 cites W4251351999 @default.
• W2999361908 cites W4253828197 @default.
• W2999361908 doi "https://doi.org/10.1111/sjos.12371" @default.
• W2999361908 hasPublicationYear "2019" @default.
• W2999361908 type Work @default.
• W2999361908 sameAs 2999361908 @default.
• W2999361908 citedByCount "4" @default.
• W2999361908 countsByYear W29993619082019 @default.
• W2999361908 countsByYear W29993619082020 @default.
• W2999361908 countsByYear W29993619082021 @default.
• W2999361908 crossrefType "journal-article" @default.
• W2999361908 hasAuthorship W2999361908A5013593975 @default.
• W2999361908 hasAuthorship W2999361908A5014518317 @default.
• W2999361908 hasAuthorship W2999361908A5029091099 @default.
• W2999361908 hasBestOaLocation W29993619082 @default.
• W2999361908 hasConcept C105795698 @default.
• W2999361908 hasConcept C119047807 @default.
• W2999361908 hasConcept C121332964 @default.
• W2999361908 hasConcept C134306372 @default.
• W2999361908 hasConcept C149782125 @default.
• W2999361908 hasConcept C154945302 @default.
• W2999361908 hasConcept C159877910 @default.
• W2999361908 hasConcept C179254644 @default.
• W2999361908 hasConcept C185429906 @default.
• W2999361908 hasConcept C202615002 @default.
• W2999361908 hasConcept C23922673 @default.
• W2999361908 hasConcept C2776214188 @default.
• W2999361908 hasConcept C2779793024 @default.
• W2999361908 hasConcept C28826006 @default.
• W2999361908 hasConcept C33923547 @default.
• W2999361908 hasConcept C41008148 @default.
• W2999361908 hasConcept C65778772 @default.
• W2999361908 hasConcept C74650414 @default.
• W2999361908 hasConcept C91602232 @default.
• W2999361908 hasConceptScore W2999361908C105795698 @default.
• W2999361908 hasConceptScore W2999361908C119047807 @default.
• W2999361908 hasConceptScore W2999361908C121332964 @default.
• W2999361908 hasConceptScore W2999361908C134306372 @default.
• W2999361908 hasConceptScore W2999361908C149782125 @default.
• W2999361908 hasConceptScore W2999361908C154945302 @default.
• W2999361908 hasConceptScore W2999361908C159877910 @default.
• W2999361908 hasConceptScore W2999361908C179254644 @default.
• W2999361908 hasConceptScore W2999361908C185429906 @default.
• W2999361908 hasConceptScore W2999361908C202615002 @default.
• W2999361908 hasConceptScore W2999361908C23922673 @default.
• W2999361908 hasConceptScore W2999361908C2776214188 @default.
• W2999361908 hasConceptScore W2999361908C2779793024 @default.
• W2999361908 hasConceptScore W2999361908C28826006 @default.
• W2999361908 hasConceptScore W2999361908C33923547 @default.
• W2999361908 hasConceptScore W2999361908C41008148 @default.
• W2999361908 hasConceptScore W2999361908C65778772 @default.
• W2999361908 hasConceptScore W2999361908C74650414 @default.
• W2999361908 hasConceptScore W2999361908C91602232 @default.
• W2999361908 hasIssue "3" @default.
• W2999361908 hasLocation W29993619081 @default.
• W2999361908 hasLocation W29993619082 @default.
• W2999361908 hasLocation W29993619083 @default.
• W2999361908 hasOpenAccess W2999361908 @default.

• next