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Asymptotic normality of the MLE in the level-effect ARCH model
dc.contributor.author | Dahl, Christian M. | |
dc.contributor.author | Iglesias, Emma M. | |
dc.date.accessioned | 2024-01-05T08:49:08Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | 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 | es_ES |
dc.identifier.issn | 1613-9798 | |
dc.identifier.issn | 0932-5026 | |
dc.identifier.uri | http://hdl.handle.net/2183/34747 | |
dc.description.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. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Springer Nature | es_ES |
dc.relation.uri | https://doi.org/10.1007/s00362-019-01086-y | es_ES |
dc.subject | Level-ARCH | es_ES |
dc.subject | Asymptotic normality | es_ES |
dc.subject | Asymptotic theory | es_ES |
dc.subject | Consistency | es_ES |
dc.subject | Stationarity | es_ES |
dc.subject | Maximum likelihood estimation | es_ES |
dc.subject | Normalidade asintótica | es_ES |
dc.subject | Teoría asintótica | es_ES |
dc.subject | Consistencia | es_ES |
dc.subject | Estacionalidade | es_ES |
dc.subject | Estimación de máxima verosimilitude | es_ES |
dc.title | Asymptotic normality of the MLE in the level-effect ARCH model | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/embargoedAccess | es_ES |
dc.date.embargoEndDate | 9999-99-99 | es_ES |
dc.date.embargoLift | 9999-99-99 | |
UDC.journalTitle | Statistical Papers | es_ES |
UDC.issue | 62 | es_ES |
UDC.startPage | 117 | es_ES |
UDC.endPage | 135 | es_ES |
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