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~person:"Lindner, A."
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GARCH process
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Lévy process
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continuous time GARCH process
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moment estimators
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stochastic volatility
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volatility estimation
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Lindner, A.
Haug, Stephan
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Czado, Claudia
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Klüppelberg, Claudia
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Szydlowski, Martin
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Lindner, Alexander M.
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Maller, Ross
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Estimating the COGARCH(1,1) model: a first go
Haug, Stephan
;
Klüppelberg, Claudia
;
Lindner, A.
;
Zapp, M.
-
2005
We suggest moment estimators for the parameters of a
continuous
time
GARCH(1,1) process based on equally spaced …
Persistent link: https://www.econbiz.de/10010332972
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