Dahl, Christian M.; Iglesias, Emma M. Asymptotic normality of the MLE in the level-effect ARCH model. (English) Zbl 1477.62237 Stat. Pap. 62, No. 1, 117-135 (2021). Summary: We establish consistency and asymptotic normality of the maximum likelihood estimator in the level-effect ARCH model of K. C. Chan et al. [“An empirical comparison of alternative models of the short-term interest rate”, J. Finance 47, No. 3, 1209–1227 (1992; doi:10.1111/j.1540-6261.1992.tb04011.x)]. Furthermore, it is shown by simulations that the asymptotic properties also apply in finite samples. MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62F12 Asymptotic properties of parametric estimators 62P20 Applications of statistics to economics Keywords:level-ARCH; asymptotic normality; asymptotic theory; consistency; stationarity; maximum likelihood estimation PDFBibTeX XMLCite \textit{C. M. Dahl} and \textit{E. M. Iglesias}, Stat. 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