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G. Jongbloed, F. H. van der Meulen and A. W. van der Vaart, “Nonparametric Inference for Levy Driven Ornstein-Uhlenbeck Processes,” Bernoulli, Vol. 11, No. 5, 2005, pp. 759-791. doi:/10.3150/bj/1130077593

has been cited by the following article:

• TITLE: Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model

  AUTHORS: Jaya Prakasah Narayan Bishwal

  KEYWORDS: Absolute Ruin, Debit Interest, Moment-Generating Function, Markovian Regime-Switching Risk Model, Dividend Barrier, Integro-Differential Equation

  JOURNAL NAME: Journal of Mathematical Finance, Vol.1 No.3, November 8, 2011

  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.