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math.ST2023
Quasi-Likelihood Analysis for Student-Lévy Regression
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
We consider the quasi-likelihood analysis for a linear regression model driven by a Student-t Lévy process with constant scale and arbitrary degrees of freedom. The model is observ…
math.ST2015★ 1 cited
Discrete time approximation of a COGARCH(p,q) model and its estimation
Stefano M. Iacus, Lorenzo Mercuri, Edit Rroji
In this paper, we construct a sequence of discrete time stochastic processes that converges in probability and in the Skorokhod metric to a COGARCH(p,q) model. The result is useful…