On QML-estimation of multivariate constant conditional correlation hyperbolic GARCH models

DOI10.17654/0972086325004MaRDI QIDQ6992084zbMATH OpenFDO

Authors Lanciné Bamba, Brahima Soro, Konan Jean Geoffroy Kouakou, Ouagnina Hili

Publication date 28 April 2025

Published in Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.17654/0972086325004

zbMATH Keywords

asymptotic normalityHGARCH modelmultivariate long memory modelsstrong consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A new hyperbolic GARCH model
• Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
• Estimation in conditionally heteroscedatic time series models.
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• M-estimate for the stationary hyperbolic GARCH models
• QML estimation of a class of multivariate asymmetric GARCH models
• Stochastic models for time series

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