BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST

DOI10.1017/S026646660505053XzbMath1083.62087MaRDI QIDQ3377443

Emma M. Iglesias, Garry D. A. Phillips

Publication date: 22 March 2006

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

zbMATH Keywords

dependent disturbancescorrelated disturbances

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models ⋮ On Sample Skewness and Kurtosis ⋮ Size Distortion in the Analysis of Volatility and Covolatility Effects

Cites Work

• Asymptotic theory for multivariate GARCH processes.
• Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
• Invariance, Nonlinear Models, and Asymptotic Tests
• On a multivariate conditional heteroscedastic model
• Estimation in a simple random effects model with nonnormal distributions
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model

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