Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:ARCH 

Working Paper
Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance

Strong consistency and weak distributional convergence to highly non-Gaussian limits are established for closed-form, two stage least squares (TSLS) estimators for a class of ARCH(p) models. Conditions for these results include (relatively) mild moment existence criteria that are supported empirically by many (high frequency) financial returns. These conditions are not shared by competing closed-form estimators like OLS. Identification of these TSLS estimators depends on asymmetry, either in the model's rescaled errors or in the conditional variance function. Monte Carlo studies reveal TSLS ...
Finance and Economics Discussion Series , Paper 2016-083

FILTER BY Content Type

FILTER BY Author

Prono, Todd 1 items

FILTER BY Jel Classification

C13 1 items

C22 1 items

C58 1 items

FILTER BY Keywords

ARCH 1 items

Closed form 1 items

Heavy tails 1 items

Instrumental variables 1 items

Regular variation 1 items

Two stage least squares 1 items

show more (1)

PREVIOUS / NEXT