Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

DOI10.1080/07474930802467217zbMath1168.62083OpenAlexW2034967606MaRDI QIDQ3394105

Felix T. S. Chan, Suhejla Hoti, Michael McAleer

Publication date: 28 August 2009

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

Full work available at URL: https://doi.org/10.1080/07474930802467217

zbMATH Keywords

regularity conditionsasymptotic theoryasymmetric effectsmultivariate structure

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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