Parameter estimation in the ARCH model with weighted liquidity

MaRDI QIDQ2806715zbMATH OpenFDO

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)

zbMATH Keywords

asymptotic normalityconsistencyleast squares estimatorliquidityARCH modelintra-day price

Mathematics Subject Classification ID

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

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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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