Listar por autor "Dahl, Christian M."
Mostrando ítems 1-2 de 2
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Asymptotic normality of the MLE in the level-effect ARCH model
Dahl, Christian M.; Iglesias, Emma M. (Springer Nature, 2021)[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 Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressivein- Mean Models
Dahl, Christian M.; Iglesias, Emma M. (Oxford, 2022)[Abstract] We extend the results in Borkovec (2000), Basrak, David, and Mikosch (2002a), Lange (2011), and Francq and Zakoı¨an (2015) by describing the tail behavior when a risk premium component is added in the mean ...