Asymptotic normality of the MLE in the level-effect ARCH model
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Asymptotic normality of the MLE in the level-effect ARCH modelDate
2021Citation
Dahl, C.M., Iglesias, E.M. Asymptotic normality of the MLE in the level-effect ARCH model. Stat Papers 62, 117–135 (2021). https://doi.org/10.1007/s00362-019-01086-y
Abstract
[Abstract]: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.
Keywords
Level-ARCH
Asymptotic normality
Asymptotic theory
Consistency
Stationarity
Maximum likelihood estimation
Normalidade asintótica
Teoría asintótica
Consistencia
Estacionalidade
Estimación de máxima verosimilitude
Asymptotic normality
Asymptotic theory
Consistency
Stationarity
Maximum likelihood estimation
Normalidade asintótica
Teoría asintótica
Consistencia
Estacionalidade
Estimación de máxima verosimilitude
Editor version
ISSN
1613-9798
0932-5026
0932-5026