Department of Economics and Business Economics

Asymptotic normality of the QMLE in the level-effect ARCH model

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  • Rp10 48

    Final published version, 563 KB, PDF document

  • Christian Møller Dahl, Denmark
  • Emma M. Iglesias, Michigan State University, United States
  • School of Economics and Management
In this paper consistency and asymptotic normality of the quasi maximum like-lihood estimator in the level-effect ARCH model of Chan, Karolyi, Longstaff and Sanders (1992) is established. We consider explicitly the case where the parameters of the conditional heteroskedastic process are in the stationary region and discuss carefully how the results can be extended to the region where the conditional heteroskedastic process is nonstationary. The results illustrate that Jensen and Rahbek's (2004a,2004b) approach can be extended further than to traditional ARCH and GARCH models.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages25
Publication statusPublished - 2010

    Research areas

  • Level-effect ARCH, QMLE, Asymptotics, Stationarity, Nonstationarity

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