Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models

DOI10.3103/S106653071803002XzbMath1419.62219MaRDI QIDQ1631205

Y. Aharonov

Publication date: 5 December 2018

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

GARCH models of time series; QML estimation of model parameters: asymptotic properties of estimators

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62H12: Estimation in multivariate analysis

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