Indirect Inference for LLvy-Driven Continuous-Time GARCH Models

2017 ◽  
Author(s):  
Thiago do Rego Sousa ◽  
Stephan Haug ◽  
Claudia Kllppelberg
Keyword(s):  
Continuous Time ◽  
Indirect Inference ◽  
Garch Models

scholarly journals Indirect Inference for Lévy‐driven continuous‐time GARCH models

2019 ◽  
Vol 46 (3) ◽  
pp. 765-801 ◽  
Author(s):  
Thiago Rêgo Sousa ◽  
Stephan Haug ◽  
Claudia Klüppelberg
Keyword(s):  
Continuous Time ◽  
Indirect Inference ◽  
Garch Models

scholarly journals Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach

2021 ◽  
Author(s):  
Francesco Bianchi ◽  
Lorenzo Mercuri ◽  
Edit Rroji
Keyword(s):  
Independent Component Analysis ◽  
Portfolio Selection ◽  
Continuous Time ◽  
High Frequency ◽  
Dependence Structure ◽  
Garch Models ◽  
Market Prices ◽  
Portfolio Strategies ◽  
Out Of Sample ◽  
Time Grid

AbstractIn this paper we consider a portfolio selection problem defined for irregularly spaced observations. We use the Independent Component Analysis for the identification of the dependence structure and continuous-time GARCH models for the marginals. We discuss both estimation and simulation of market prices in a context where the time grid of price quotations differs across assets. We present an empirical analysis of the proposed approach using two high-frequency datasets that provides better out-of-sample results than competing portfolio strategies except for the case of severe market conditions with frequent rebalancements.

scholarly journals Analysis of Stock Market Volatility by Continuous-Time GARCH Models

2009 ◽  
pp. 31-50
Author(s):  
Robert Durand ◽  
Gernot M√ºller ◽  
Ross Maller ◽  
Claudia Klüppelberg
Keyword(s):  
Stock Market ◽  
Continuous Time ◽  
Market Volatility ◽  
Garch Models ◽  
Stock Market Volatility

Continuous-Time System Identification Using Indirect Inference

2009 ◽  
Vol 42 (10) ◽  
pp. 1169-1174 ◽  
Author(s):  
James S. Welsh ◽  
Juan C. Agüero ◽  
Mazen Alamir
Keyword(s):  
System Identification ◽  
Continuous Time ◽  
Indirect Inference ◽  
Time System ◽  
Continuous Time System
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