Asymptotic normality of the QMLE in the level-effect ARCH model-水平效应ARCH模型中...

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英文文献：Asymptotic normality of the QMLE in the level-effect ARCH model-水平效应ARCH模型中QMLE的渐近正态性
英文文献作者：Christian M. Dahl,Emma M. Iglesias
英文文献摘要：
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.

摘要本文建立了Chan, Karolyi, Longstaff和Sanders(1992)的水平效应ARCH模型中拟极大似lihood估计量的相合性和渐近正态性。讨论了条件异变过程的参数在平稳区域的情况，并详细讨论了如何将所得结果推广到条件异变过程的非平稳区域。结果表明，与传统的ARCH和GARCH模型相比，Jensen和Rahbek (2004a,2004b)的方法可以进一步推广。

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