research
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09/26/2019
Moment based estimation for the multivariate COGARCH(1,1) process
For the multivariate COGARCH process, we obtain explicit expressions for...
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04/17/2019
Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates
We estimate the parameter of a time series process by minimizing the int...
research
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12/28/2017