On the Maximum Likelihood Estimator for Irregularly Observed Time Series Data from Cogarch(1,1) Models
نویسندگان
چکیده
• In this paper, we study the asymptotic properties of the maximum likelihood estimator (MLE) in COGARCH(1,1) models driven by Lévy processes as proposed by Maller et al. ([13]). We show that the MLE is consistent and asymptotically normal under some conditions relevant to the moments of the driving Lévy process and the sampling scheme.
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