EGARCH Model with Weighted Liquidity

DOI10.1080/03610918.2012.725496MaRDI QIDQ5415909zbMATH OpenOpenAlexFDO

Authors Ciprian A. Tudor, C. 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

asymptotic normalityconsistencyEGARCH modelGaussian random variablesintra-day priceliquiditymaximum likelihood estimator

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(4)

• ARCH model and fractional Brownian motion
• Tackling boundary effects in nonparametric estimation of intra-day liquidity measures
• On the ARCH model with stationary liquidity
• Parameter estimation in the ARCH model with weighted liquidity

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