Asymptotic theory for multivariate GARCH processes.

DOI10.1016/S0047-259X(02)00009-XzbMath1038.62077OpenAlexW2012705547MaRDI QIDQ1867194

Fabienne Comte, Offer Lieberman

Publication date: 2 April 2003

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

Full work available at URL: https://doi.org/10.1016/s0047-259x(02)00009-x

zbMATH Keywords

GARCHConsistencyAsymptotic normalityBEKKMartingale CLT

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) Asymptotic distribution theory in statistics (62E20)

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Cites Work

• Markov chains and stochastic stability
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• Stationarity of GARCH processes and of some nonnegative time series
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Generalized autoregressive conditional heteroscedasticity
• Second-Order Noncausality in Multivariate GARCH Processes
• Kalman Filtering with Random Coefficients and Contractions
• Matrix Analysis
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• The Lindeberg-Levy Theorem for Martingales
• Contributions to Central Limit Theory for Dependent Variables
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