On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

DOI10.1016/j.matcom.2008.12.008zbMath1163.62070OpenAlexW2026527199MaRDI QIDQ1025338

Heinz Neudecker, Shuangzhe Liu

Publication date: 18 June 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.008

zbMATH Keywords

CCCasymptotic variance matrixARCH-MCHARMAR-ARCH

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05)

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Uses Software

• FinTS

Cites Work

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