Journal
STATISTICAL PAPERS
Volume 62, Issue 1, Pages 117-135Publisher
SPRINGER
DOI: 10.1007/s00362-019-01086-y
Keywords
Level-ARCH; Asymptotic normality; Asymptotic theory; Consistency; Stationarity; Maximum likelihood estimation
Categories
Ask authors/readers for more resources
The study demonstrates the consistency and asymptotic normality of the maximum likelihood estimator in the level-effect ARCH model, as well as its applicability in finite samples through simulations.
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.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available
Share Paper
