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~subject:"continuous time GARCH process"
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continuous time GARCH process
Lévy process
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stochastic volatility
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stationarity
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CEO Compensation
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COGARCH
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Continuous-time contracting
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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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