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

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UDC.coleccionInvestigaciónes_ES
UDC.departamentoEconomíaes_ES
UDC.endPage135es_ES
UDC.grupoInvGrupo Jean Monnet de Competitividade e Desenvolvemento (GCD)es_ES
UDC.institutoCentroECOBAS - Centro de Investigación Interuniversitario en Economía e Empresa para a Sociedadees_ES
UDC.issue62es_ES
UDC.journalTitleStatistical Paperses_ES
UDC.startPage117es_ES
dc.contributor.authorDahl, Christian M.
dc.contributor.authorIglesias, Emma
dc.date.accessioned2024-01-05T08:49:08Z
dc.date.embargoEndDate9999-12-31es_ES
dc.date.embargoLift9999-12-31
dc.date.issued2021
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.identifier.citationDahl, 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-yes_ES
dc.identifier.issn1613-9798
dc.identifier.issn0932-5026
dc.identifier.urihttp://hdl.handle.net/2183/34747
dc.language.isoenges_ES
dc.publisherSpringer Naturees_ES
dc.relation.urihttps://doi.org/10.1007/s00362-019-01086-yes_ES
dc.rights.accessRightsembargoed accesses_ES
dc.subjectLevel-ARCHes_ES
dc.subjectAsymptotic normalityes_ES
dc.subjectAsymptotic theoryes_ES
dc.subjectConsistencyes_ES
dc.subjectStationarityes_ES
dc.subjectMaximum likelihood estimationes_ES
dc.subjectNormalidade asintóticaes_ES
dc.subjectTeoría asintóticaes_ES
dc.subjectConsistenciaes_ES
dc.subjectEstacionalidadees_ES
dc.subjectEstimación de máxima verosimilitudees_ES
dc.titleAsymptotic normality of the MLE in the level-effect ARCH modeles_ES
dc.typejournal articlees_ES
dspace.entity.typePublication
relation.isAuthorOfPublicationabbbf553-7437-45a3-9d25-744cec185f98
relation.isAuthorOfPublication.latestForDiscoveryabbbf553-7437-45a3-9d25-744cec185f98

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