QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

DOI10.1017/S0266466611000156zbMath1234.62120OpenAlexW2147475936MaRDI QIDQ3224041

Jean-Michel Zakoian, Christian Francq

Publication date: 29 March 2012

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

Full work available at URL: https://doi.org/10.1017/s0266466611000156

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 properties of nonparametric inference (62G20) Stationary stochastic processes (60G10) Monte Carlo methods (65C05)

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