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

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Author Info

  • Christian M. Dahl

    ()
    (Department of Business and Economics, University of Southern Denmark and CREATES)

  • Emma M. Iglesias

    ()
    (Department of Economics, Michigan State University)

Abstract

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.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2010-48.

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Length: 25
Date of creation: 25 Aug 2010
Date of revision:
Handle: RePEc:aah:create:2010-48

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Level-effect ARCH; QMLE; Asymptotics; Stationarity; Nonstationarity.;

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