Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models

DOI10.3103/S106653071803002XzbMath1419.62219OpenAlexW2897408019MaRDI QIDQ1631205

Y. Aharonov

Publication date: 5 December 2018

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s106653071803002x

zbMATH Keywords

GARCH models of time seriesQML estimation of model parameters: asymptotic properties of estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Estimating weak periodic vector autoregressive time series ⋮ Estimation of multivariate asymmetric power GARCH models

Cites Work

• Unnamed Item
• Analytical quasi maximum likelihood inference in multivariate volatility models
• On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
• Break detection in the covariance structure of multivariate time series models
• Stationarity of GARCH processes and of some nonnegative time series
• GARCH processes: structure and estimation
• Whittle estimation in a heavy-tailed GARCH(1,1) model.
• Generalized autoregressive conditional heteroscedasticity
• Asymptotic theory for multivariate GARCH processes.
• Drift conditions and invariant measures for Markov chains.
• Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
• Estimation in conditionally heteroscedatic time series models.
• Whittle estimation of EGARCH and other exponential volatility models
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• Matrix Analysis
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• WHITTLE ESTIMATION OF ARCH MODELS
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Estimating Multivariate Volatility Models Equation by Equation
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE

This page was built for publication: Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models