Quasi-maximum likelihood estimation of conditional autoregressive Wishart models

DOI10.1111/JTSA.12566MaRDI QIDQ4997698zbMATH OpenOpenAlexFDO

Authors Manabu Asai, Mike K. P. So

Publication date 30 June 2021

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12566

zbMATH Keywords

asymptotic theoryconditional autoregressive Wishartquasi-maximum likelihood estimationWishart distribution

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) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

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Cited in

(4)

• Unrestricted maximum likelihood estimation of multivariate realized volatility models
• Realized BEKK-CAW models
• Maximum likelihood estimation for Wishart processes
• Maximum likelihood estimation for directional conditionally autoregressive models

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