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.