Parameter estimation in the ARCH model with weighted liquidity (Q2806715)
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scientific article; zbMATH DE number 6582164
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| English | Parameter estimation in the ARCH model with weighted liquidity |
scientific article; zbMATH DE number 6582164 |
Statements
18 May 2016
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ARCH model
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liquidity
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intra-day price
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least squares estimator
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consistency
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asymptotic normality
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Parameter estimation in the ARCH model with weighted liquidity (English)
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0.8696209788322449
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0.8282907605171204
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0.7962220311164856
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0.7806693315505981
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