On asymptotic theory for multivariate GARCH models

DOI10.1016/j.jmva.2009.03.011zbMath1170.62063OpenAlexW2007926406MaRDI QIDQ842922

Christian M. Hafner, Arie Preminger

Publication date: 28 September 2009

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.03.011

zbMATH Keywords

consistencyasymptotic normalitygeometric ergodicitymultivariate GARCH modelsVEC

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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