On asymptotic theory for multivariate GARCH models
نویسندگان
چکیده
منابع مشابه
Asymptotic Theory for Multivariate GARCH Processes
We provide in this paper asymptotic theory for the multivariate GARCH(p, q) process. Strong consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to conditions given in Jeantheau [19] in conjunction with a result given by Boussama [9] concerning the existence of a stationary and ergodic solution to the multivariate GARCH(p, q) process. We prove asymptotic norma...
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Nonlinear time series models, especially those with regime-switching and conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the ∗This paper circulated previously as “Structure and Asymptotic Theory for STAR-GARCH(1,1) Models”. The authors wish to thank Thierry Jeantheau, Offer Lieberman, Shiqing Ling, Howell Tong and ...
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Estimation of multivariate GARCH models is usually carried out by quasi maximum likelihood (QMLE), for which recently consistency and asymptotic normality have been proven under quite general conditions. However, there are to date no results on the efficiency loss of QMLE if the true innovation distribution is not multinormal. We investigate this issue by suggesting a nonparametric estimation o...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2009
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2009.03.011