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ECOLE SUPÉRIEURE D'ÉLECTRICITÉ Une grande école d'ingénieurs au cœur des sciences de l'information,de l'énergie et des systèmes |
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Journal articles
Least squares estimation of ARCH models with missing observations
Abstract : A least squares estimator for ARCH models in the presence of missing data is proposed. Strong consistency and asymptotic normality are derived. Monte Carlo simulation results are analysed and an application to real data of a Chilean stock index is reported.
https://hal-supelec.archives-ouvertes.fr/hal-00819753
Contributor : Pascal Bondon Connect in order to contact the contributor
Submitted on : Thursday, May 2, 2013 - 11:38:28 AM
Last modification on : Thursday, June 17, 2021 - 3:46:39 AM
Contributor : Pascal Bondon Connect in order to contact the contributor
Submitted on : Thursday, May 2, 2013 - 11:38:28 AM
Last modification on : Thursday, June 17, 2021 - 3:46:39 AM
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