On asymptotic theory for multivariate GARCH models (Q842922)

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English	On asymptotic theory for multivariate GARCH models	scientific article

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scholarly article

On asymptotic theory for multivariate GARCH models (English)

Christian M. Hafner

Journal of Multivariate Analysis

publication date

28 September 2009

zbMATH Keywords

multivariate GARCH models

VEC

geometric ergodicity

consistency

asymptotic normality

MaRDI profile type

MaRDI publication profile

full work available at URL

https://doi.org/10.1016/j.jmva.2009.03.011

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Generalized autoregressive conditional heteroscedasticity

A full-factor multivariate GARCH model

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

Asymptotic theory for multivariate GARCH processes.

ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL

Strict stationarity of generalized autoregressive processes

Verifying irreducibility and continuity of a nonlinear time series

Markov chains and stochastic stability

ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS

Identification, estimation and testing of conditionally heteroskedastic factor models

Testing When a Parameter is on the Boundary of the Maintained Hypothesis

Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS

Regular variation of GARCH processes.

Non-linear time series and Markov chains

ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS

Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach

Identifiers

zbMATH Open document ID

10.1016/j.jmva.2009.03.011

Mathematics Subject Classification ID

zbMATH DE Number

Sitelinks

Mathematics(1 entry)

mardi Publication:842922

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