Parameter estimation in the ARCH model with weighted liquidity

Authors

  • C.A. Tudor Universite de Lille 1, Villeneuve d'Ascq, France
  • C. Tudor Academy of Economic Studies, Bucharest, Romania

Keywords:

ARCH model, liquidity, intr-day price, least squares estimator, consistency, asymptotic normality

Abstract

We analyze a variant of the ARCH(1) model which captures the variation of the intra-day price. We study the asymptotic behavior of the least-squares estimator for the parameters of the model.

Author Biographies

C.A. Tudor, Universite de Lille 1, Villeneuve d'Ascq, France

Laboratoire Paul Painleve, U.F.R. Mathematiques, F-59655; Academy of Economical Studies, Bucharest, Romania, Department of Mathematics 

C. Tudor, Academy of Economic Studies, Bucharest, Romania

Department of International Business and Economics  

Downloads

Published

2015-06-16

Issue

Vol. 8(57) No. 1 (2015)

Section

MATHEMATICS