Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
نویسندگان
چکیده
A new multivariate volatility model that belongs to the family of conditional correlation GARCH models is introduced. The equations this contain a multiplicative deterministic component describe long-run movements in and, addition, correlations are deterministically time-varying. Parameters estimated jointly using maximum likelihood. Consistency and asymptotic normality likelihood estimators proved. Numerical aspects estimation algorithm discussed. bivariate empirical example provided.
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ژورنال
عنوان ژورنال: Econometrics and Statistics
سال: 2021
ISSN: ['2452-3062', '2468-0389']
DOI: https://doi.org/10.1016/j.ecosta.2021.07.008