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

DOI10.1007/s00362-019-01086-yzbMath1477.62237OpenAlexW2156571617WikidataQ128589019 ScholiaQ128589019MaRDI QIDQ2066488

Christian M. Dahl, Emma M. Iglesias

Publication date: 14 January 2022

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-019-01086-y

zbMATH Keywords

consistencyasymptotic normalitymaximum likelihood estimationstationarityasymptotic theorylevel-ARCH

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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