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

被引：2

作者：

Dahl, Christian M. ^{[1
]}

Iglesias, Emma M. ^{[2
]}

机构：

[1] Univ Southern Denmark, Dept Business & Econ, COHERE, Campusvej 55, DK-5230 Odense, Denmark

[2] Univ A Coruna, Fac Econ & Empresa, Dept Econ, Campus A Coruna, La Coruna 15071, Spain

来源：

STATISTICAL PAPERS | 2021年 / 62卷 / 01期

关键词：

Level-ARCH; Asymptotic normality; Asymptotic theory; Consistency; Stationarity; Maximum likelihood estimation;

D O I：

10.1007/s00362-019-01086-y

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：117 / 135

页数：19

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