Whittle estimation in multivariate CCC-GARCH processes

DOI10.1080/03610926.2018.1484140MaRDI QIDQ5864796zbMATH OpenOpenAlexFDO

Authors Abdelouahab Bibi, Karima Kimouche

Publication date 10 June 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1484140

zbMATH Keywords

asymptotic normalityconsistencymultivariate \textit{CCC-GARCH} modelsstationarityWhittle estimator

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(1)

• Generalized autocovariance matrices for multivariate time series

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