Weak dependence and GMM estimation of supOU and mixed moving average processes

We consider a mixed moving average (MMA) process X driven by a L\évy basis and prove that it is weakly dependent with rates computable in terms of the moving average kernel and the characteristic quadruple of the L\évy basis. Using this property, we show conditions ensuring that sample mean and autocovariances of X have a limiting normal distribution. We extend these results to stochastic volatility models and then investigate a Generalized Method of Moments estimator for the supOU process and the supOU stochastic volatility model after choosing a suitable distribution for the mean reversion parameter. For these estimators, we analyze the asymptotic behavior in detail.