Asymmetric COGARCH processes
2014 ◽
Vol 51
(A)
◽
pp. 161-173
◽
Keyword(s):
Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data. We discuss some asymmetric versions of the continuous-time GARCH model, concentrating then on the GJR-COGARCH model. We calculate higher-order moments and extend the first-jump approximation. These results are prerequisites for moment estimation and pseudo maximum likelihood estimation of the GJR-COGARCH model parameters, respectively, which we derive in detail.
2014 ◽
Vol 51
(A)
◽
pp. 161-173
◽
1994 ◽
Vol 18
(2)
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pp. 255-267
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2018 ◽
Vol 202
(1)
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pp. 92-107
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2006 ◽
Vol 34
(3)
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pp. 1049-1074
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2018 ◽
Vol 35
(1)
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pp. 304-317
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2000 ◽
Vol 95
(452)
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pp. 1229-1243
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1985 ◽
Vol 14
(10)
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pp. 2293-2311
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