Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

DOI10.1080/07474930802467217zbMath1168.62083MaRDI QIDQ3394105

Felix T. S. Chan, Michael McAleer, Suhejla Hoti

Publication date: 28 August 2009

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

Full work available at URL: https://doi.org/10.1080/07474930802467217

zbMATH Keywords

regularity conditions; asymptotic theory; asymmetric effects; multivariate structure

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

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