scientific article; zbMATH DE number 562294

MaRDI QIDQ4290503zbMATH OpenFDO

Authors Shiqing Ling, Weicai Deng

Publication date 28 June 1994

zbMATH Keywords

asymptotic normalityconditional hetero-covariance matrixconsistencyleast squares estimatorMARCH modelsmaximum likelihood estimatormultiple autoregressive modelsstationarity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(16)

• Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
• Fitting a \(p\)th order parametric generalized linear autoregressive multiplicative error model
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• Estimation and inference of the vector autoregressive process under heteroscedasticity
• Heteroscedastic modelling via the autoregressive conditional variance subspace
• PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
• USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS
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• Joint modeling of cointegration and conditional heteroscedasticity with applications

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