Asymptotic normality of the MLE in the level-effect ARCH model

Christian M. Dahl, Emma M. Iglesias

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Resumé

We establish consistency and asymptotic normality of the maximum likelihood estimator in the level-effect ARCH model of Chan et al. (J Financ 47(3):1209–1227, 1992). Furthermore, it is shown by simulations that the asymptotic properties also apply in finite samples.

OriginalsprogEngelsk
TidsskriftStatistical Papers
ISSN0932-5026
DOI
StatusE-pub ahead of print - 19. jan. 2019

Fingeraftryk

Autoregressive Conditional Heteroscedasticity
Asymptotic Normality
Maximum Likelihood Estimator
Asymptotic Properties
Simulation
Maximum likelihood estimator
Asymptotic properties
Autoregressive conditional heteroscedasticity
Finite sample
Level effect
Asymptotic normality

Citer dette

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Asymptotic normality of the MLE in the level-effect ARCH model. / Dahl, Christian M.; Iglesias, Emma M.

I: Statistical Papers, 19.01.2019.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

TY - JOUR

T1 - Asymptotic normality of the MLE in the level-effect ARCH model

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AU - Iglesias, Emma M.

PY - 2019/1/19

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KW - Asymptotic normality

KW - Asymptotic theory

KW - Consistency

KW - Level-ARCH

KW - Maximum likelihood estimation

KW - Stationarity

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DO - 10.1007/s00362-019-01086-y

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