Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models

DOI10.1111/jtsa.12566zbMath1468.62291MaRDI QIDQ4997698

Manabu Asai, Mike K. P. So

Publication date: 30 June 2021

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

Full work available at URL: https://doi.org/10.1111/jtsa.12566

zbMATH Keywords

Wishart distribution; asymptotic theory; quasi-maximum likelihood estimation; conditional autoregressive Wishart

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

Related Items

Realized BEKK-CAW models

Cites Work

• Unnamed Item
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
• The Wishart autoregressive process of multivariate stochastic volatility
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Forecasting multivariate realized stock market volatility
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• The conditional autoregressive Wishart model for multivariate stock market volatility
• On asymptotic theory for multivariate GARCH models
• Statistical inference for conditional quantiles in nonlinear time series models
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
• Long memory and asymmetry for matrix-exponential dynamic correlation processes
• Asymptotic theory for multivariate GARCH processes.
• Multivariate leverage effects and realized semicovariance GARCH models
• Stochastic Covariance Models
• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
• The Covariance Matrix of the Information Matrix Test
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Multivariate variance targeting in the BEKK-GARCH model
• Modeling and Forecasting Realized Volatility
• Martingale Central Limit Theorems
• Maximum Likelihood Estimation of Misspecified Models