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

@article{Bibbona2014HigherMA,
  title={Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model},
  author={Enrico Bibbona and Ilia Negri},
  journal={Scandinavian Journal of Statistics},
  year={2014},
  volume={42},
  pages={891 - 910}
}
COGARCH models are continuous time versions of the well‐known GARCH models of financial returns. The first aim of this paper is to show how the method of prediction‐based estimating functions can be applied to draw statistical inference from observations of a COGARCH(1,1) model if the higher‐order structure of the process is clarified. A second aim of the paper is to provide recursive expressions for the joint moments of any fixed order of the process. Asymptotic results are given, and a… 
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