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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…
stat.CO2015★ 3 cited
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project
Stefano M. Iacus, Lorenzo Mercuri, Edit Rroji
In this paper we show how to simulate and estimate a COGARCH(p,q) model in the R package yuima. Several routines for simulation and estimation are available. Indeed for the generat…