Moment‐based estimation for the multivariate COGARCH(1, 1) process. (27th May 2021)

• Record Type: Journal Article
• Authors: do Rêgo Sousa, Thiago; Stelzer, Robert
• Is Part Of: Scandinavian journal of statistics. Volume 49:Number 2(2022)
• Page Start: 681
• Page End: 717
• Publication Date: 2021-05-27
• Subjects: estimation -- generalized method of moments -- Lévy process -- model identification -- multivariate continuous time GARCH -- second‐order moment structure; Statistics -- Periodicals; 310
• DOI: 10.1111/sjos.12531
• Languages: English
• ISSNs: 0303-6898

Abstract

Abstract: For the multivariate COGARCH process, we obtain explicit expressions for the second‐order structure of the "squared returns" process observed on an equidistant grid. Based on this, we present a generalized method of moments estimator for its parameters. Under appropriate moment and strong mixing conditions, we show that the resulting estimator is consistent and asymptotically normal. Sufficient conditions for strong mixing, stationarity and identifiability of the model parameters are discussed in detail. We investigate the finite sample behavior of the estimator in a simulation study.