Format:
Online-Ressource (175 S., 5,61 MB)
Content:
We address several approaches to modelling high frequency financial data in continuous time. Besides considering estimation for the existing continuous time GARCH(1, 1) (COGARCH) process we will propose three new models. At first we suggest a method of moment estimator for the parameters of the COGARCH(1, 1) process. We show that the resulting estimators are consistent and asymptotically normal and investigate the empirical quality in a simulation study based on the compound Poisson and Variance Gamma driven COGARCH(1, 1) model. The model is also fitted to high-frequency financial data from the New York Stock Exchange. In the following chapter we develop the first new model, an exponential COGARCH(p, q) process ...
Note:
München, Techn. Univ., Diss, 2007
Language:
English
Keywords:
Hochschulschrift
URN:
urn:nbn:de:bvb:91-diss-20070411-620244-0-5
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