Parameter estimation in the ARCH model with weighted liquidity

zbMATH Open1349.60061MaRDI QIDQ2806715FDOQ2806715

Authors: Ciprian A. Tudor, C. Tudor 

Publication date: 18 May 2016

Published in: Bulletin of the Transilvania University of Brașov. Series III. Mathematics, Informatics, Physics (Search for Journal in Brave)

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zbMATH Keywords

asymptotic normalityconsistencyleast squares estimatorliquidityARCH modelintra-day price

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Self-similar stochastic processes (60G18)

Cited In (4)

• On the ARCH model with stationary liquidity
• Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
• EGARCH Model with Weighted Liquidity
• A Weighted Linear Estimator of Multivariate ARCH Parameters

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