Feasible generalized least squares estimation of multivariate GARCH(1, 1) models
نویسندگان
چکیده
منابع مشابه
Feasible generalized least squares estimation of multivariate GARCH(1, 1) models
We provide a feasible generalized least squares estimator for (unrestricted) multivariate GARCH(1,1) models. We show that the estimator is consistent and asymptotically normally distributed under mild assumptions. Unlike the (quasi) maximum likelihood method, the feasible GLS is considerably fast to implement and does not require any complex optimization routine. We present numerical experiment...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2014
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2014.04.015