On asymptotic theory for multivariate GARCH models

The paper investigates the asymptotic theory for a multivariate GARCH model in its general vector specification proposed by Bollerslev, Engle and Wooldridge (1988) [4], known as the VEC model. This model includes as important special cases the so-called BEKK model and many versions of factor GARCH...

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Veröffentlicht in:	Journal of multivariate analysis 2009-10, Vol.100 (9), p.2044-2054
Hauptverfasser:	Hafner, Christian M., Preminger, Arie
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic normality Consistency Estimating techniques Exact sciences and technology Geometric ergodicity Global analysis, analysis on manifolds Limit theorems Logic and foundations Mathematical logic, foundations, set theory Mathematics Maximum likelihood method Model theory Multivariate analysis Multivariate GARCH models Multivariate GARCH models VEC Geometric ergodicity Consistency Asymptotic normality Probability and statistics Probability theory and stochastic processes Sciences and techniques of general use Statistics Stochastic models Studies Topology. Manifolds and cell complexes. Global analysis and analysis on manifolds VEC
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