Estimation of multivariate asymmetric power GARCH models

DOI10.1016/j.jmva.2022.105073OpenAlexW2903357962MaRDI QIDQ2079614

O. Kadmiri, Yacouba Boubacar Maïnassara, Bruno Saussereau

Publication date: 30 September 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.02061

zbMATH Keywords

quasi-maximum likelihoodthreshold modelsconstant conditional correlationmultivariate asymmetric power GARCH models

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 (1)

Portmanteau test for a class of multivariate asymmetric power GARCH model

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