ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS

DOI10.1017/S0266466612000473zbMath1274.62573MaRDI QIDQ2845022

Marco Avarucci, Eric Beutner, Paolo Zaffaroni

Publication date: 22 August 2013

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

consistencyasymptotic normalitymoment conditionsGaussian quasi-maximum likelihood estimatormultivariate ARCH(1) model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH ⋮ Dynamic conditional eigenvalue GARCH ⋮ Autoregressive conditional betas ⋮ Asymptotics of Cholesky GARCH models and time-varying conditional betas ⋮ On the tail behavior of a class of multivariate conditionally heteroskedastic processes

Cites Work

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