ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS

DOI10.1017/S0266466612000473zbMath1274.62573MaRDI QIDQ2845022

Marco Avarucci, Eric Beutner, Paolo Zaffaroni

Publication date: 22 August 2013

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

consistency; asymptotic normality; moment conditions; Gaussian quasi-maximum likelihood estimator; multivariate ARCH(1) model

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

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

Related Items

CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH, Dynamic conditional eigenvalue GARCH, On the tail behavior of a class of multivariate conditionally heteroskedastic processes, Asymptotics of Cholesky GARCH models and time-varying conditional betas

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