Open AccessClosed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance
Author(s) -
Todd Prono
Publication year - 2017
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2016.083r1
Subject(s) - estimator , mathematics , consistency (knowledge bases) , asymptotic distribution , monte carlo method , econometrics , strong consistency , statistics , gaussian , arch , weak convergence , sample (material) , computer science , physics , civil engineering , chemistry , chromatography , engineering , geometry , computer security , quantum mechanics , asset (computer security)