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Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model

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DOI: 10.4236/jmf.2011.13008    4,751 Downloads   8,903 Views   Citations


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.

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The authors declare no conflicts of interest.

Cite this paper

J. Bishwal, "Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model," Journal of Mathematical Finance, Vol. 1 No. 3, 2011, pp. 58-62. doi: 10.4236/jmf.2011.13008.


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