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EGARCH Model with Weighted Liquidity |
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| Authors: | Ciprian A Tudor Cristiana Tudor |
| Institution: | 1. Laboratoire Paul Painlevé, U.F.R. Mathématiques , Université de Lille 1, F-59655 Villeneuve d’Ascq , France;2. Department of International Business and Economics , Academy of Economic Studies , Bucharest , Romania |
| Abstract: | We analyze a variant of the EGARCH model which captures the variation of the intra-day price. We study the asymptotic behavior of the estimators for the parameters of the model. We also illustrate our theoretical results by empirical studies. |
| Keywords: | Asymptotic normality Consistency EGARCH model Intr-day price Gaussian random variables Liquidity Maximum likelihood estimator |