EGARCH Model with Weighted Liquidity (Q5415909)
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scientific article; zbMATH DE number 6296469
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | EGARCH Model with Weighted Liquidity |
scientific article; zbMATH DE number 6296469 |
Statements
EGARCH Model with Weighted Liquidity (English)
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19 May 2014
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asymptotic normality
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consistency
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EGARCH model
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intra-day price
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Gaussian random variables
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liquidity
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maximum likelihood estimator
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0.8414717
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0.83328044
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0.8252331
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0.81551594
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0.81033903
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0.81001467
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