Listar1. Investigación por tema "Consistencia"

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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 ...