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Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation - MaRDI portal

Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation

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Publication:6581766

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DOI10.1515/jtse-2022-0018zbMath1542.62117MaRDI QIDQ6581766

Yongdeng Xu

Publication date: 1 August 2024

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

zbMATH Keywords

spillover effect realized GARCH QML HEAVY vector MEM

Mathematics Subject Classification ID

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

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