ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

DOI10.1017/S0266466603192092zbMath1441.62799OpenAlexW2143053136MaRDI QIDQ4561954

Michael McAleer, Shiqing Ling

Publication date: 14 December 2018

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

Full work available at URL: https://doi.org/10.1017/s0266466603192092

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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