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Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model
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Journal of Mathematical Finance·Volume 01 (2011)·Pages 58–62·Published 25 November 2011·DOI10.4236/jmf.2011.13008
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Abstract
Usually asset price process has jumps and volatility process has long memory. We study maximum quasi- likelihood estimators for the parameters of a fractionally integrated exponential GARCH, in short FIECO- GARCH process based on discrete observations. We deal with a compound Poisson FIECOGARCH process and study the asymptotic behavior of the maximum quasi-likelihood estimator. We show that the resulting estimators are consistent and asymptotically normal.
KeywordsAbsolute RuinDebit InterestMoment-Generating FunctionMarkovian Regime-Switching Risk ModelDividend BarrierIntegro-Differential Equation
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