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1002.4261
Cited By

Multivariate COGARCH(1,1) processes

Multivariate COGARCH(1,1) processes

23 February 2010

ArXiv (abs)PDF HTML

Papers citing "Multivariate COGARCH(1,1) processes"

4 / 4 papers shown

Asymptotics of time-varying processes in continuous-time using locally
stationary approximations

Asymptotics of time-varying processes in continuous-time using locally stationary approximations

263

0

0

01 May 2021

Moment based estimation for the multivariate COGARCH(1,1) process

Moment based estimation for the multivariate COGARCH(1,1) processScandinavian Journal of Statistics (Scand. J. Stat.), 2019

Thiago do Rêgo Sousa

129

3

0

26 Sep 2019

Indirect Inference for Time Series Using the Empirical Characteristic
Function and Control Variates

Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates

Richard A. Davis

Thiago do Rêgo Sousa

Claudia Klüppelberg

264

5

0

17 Apr 2019

Higher Moments and Prediction Based Estimation for the COGARCH(1,1)
model

Higher Moments and Prediction Based Estimation for the COGARCH(1,1) model

515

13

0

30 Jan 2014

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