Indirect Inference for Lévy-driven continuous-time GARCH models

12/28/2017
by   Thiago do Rêgo Sousa, et al.
0

We advocate the use of an Indirect Inference method to estimate the parameter of a COGARCH 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 SLLN 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 to previous estimators.

READ FULL TEXT

page 1

page 2

page 3

page 4

research
04/03/2018

Robust estimation of continuous-time ARMA models via indirect inference

In this paper we present a robust estimator for the parameters of a cont...
research
04/17/2019

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

We estimate the parameter of a time series process by minimizing the int...
research
08/08/2017

Derivative-Based Optimization with a Non-Smooth Simulated Criterion

Indirect inference requires simulating realizations of endogenous variab...
research
07/24/2023

Estimation and Inference for Multivariate Continuous-time Autoregressive Processes

The aim of this paper is to develop estimation and inference methods for...
research
09/26/2019

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

For the multivariate COGARCH process, we obtain explicit expressions for...
research
11/13/2017

Checking validity of monotone domain mean estimators

Estimates of population characteristics such as domain means are often e...
research
07/29/2019

Smaller p-values via indirect information

This article develops p-values for evaluating means of normal population...

Please sign up or login with your details

Forgot password? Click here to reset