EGARCH Model with Weighted Liquidity

DOI10.1080/03610918.2012.725496zbMath1333.62217OpenAlexW1983195967MaRDI QIDQ5415909

Cristiana Tudor, Ciprian A. Tudor

Publication date: 19 May 2014

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.725496

zbMATH Keywords

consistencyasymptotic normalitymaximum likelihood estimatorGaussian random variablesliquidityEGARCH modelintra-day price

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99) Self-similar stochastic processes (60G18)

Related Items (2)

ARCH model and fractional Brownian motion ⋮ On the ARCH model with stationary liquidity

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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