Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models (Q1631205)
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scientific article; zbMATH DE number 6989593
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models |
scientific article; zbMATH DE number 6989593 |
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Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models (English)
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5 December 2018
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Several stochastic properties are considered for generalized autoregressive conditional heteroscedasticity (GARCH) models of time series with constant conditional correlation (CCC). Here, based on strong stationarity conditions, results are presented concerning the asymptotic properties, such as strong consistency and asymptotic normality, of the quasi-maximum likelihood (QML) estimator for the unknown parameters of the model under consideration.
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GARCH models of time series
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QML estimation of model parameters: asymptotic properties of estimators
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