The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS
Abstract
This paper deals with the asymptotic properties of quasi-maximum likelihood estimators for multivariate heteroskedastic models. For a general model, we give conditions under which strong consistency can be obtained; unlike in the current literature, the assumptions on the existence of moments of the error term are weak, and no study of the various derivatives of the likelihood is required. Then, for a particular model, the multivariate GARCH model with constant correlation, we describe the set of parameters where these conditions hold.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
Multivariate GARCH models: a survey
Bauwens, L., Laurent, S., & Rombouts, J. V. K. (2006) · Journal of Applied Econometrics · doi:10.1002/jae.842 · Cited by 2,045
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
Ling, S., & McAleer, M. (2003) · Econometric Theory · doi:10.1017/s0266466603192092 · Cited by 885
Silvennoinen, A., & Teräsvirta, T. (2009) · Handbook of Financial Time Series · doi:10.1007/978-3-540-71297-8_9 · Cited by 452
Modelling Nonlinear Economic Time Series
Teräsvirta, T., Tjøstheim, D., & Granger, C. W. J. (2010) · doi:10.1093/acprof:oso/9780199587148.001.0001 · Cited by 352
AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
McAleer, M. (2005) · Econometric Theory · doi:10.1017/s0266466605050140 · Cited by 342
Metadata
- Authors
- Jeantheau, T.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 1998-02
- Volume
- 14
- Issue
- 1
- Pages
- 70-86
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W2104053023
- Cited by
- 445
- References
- 1
- FWCI
- 5.17
- Type
- journal article
- Language
- en
- Open access
- closed
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- Jeantheau, T. (1998). STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS. Econometric Theory. https://doi.org/10.1017/s0266466698141038
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
