ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS
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Publication:2845022
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)
consistency; asymptotic normality; moment conditions; Gaussian quasi-maximum likelihood estimator; multivariate ARCH(1) model
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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