کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1140128 956713 2009 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
چکیده انگلیسی

We consider a general multivariate conditional heteroskedastic model under a conditional distribution that is not necessarily normal. This model contains autoregressive conditional heteroskedastic (ARCH) models as a special class. We use the pseudo maximum likelihood estimation method and derive a new estimator of the asymptotic variance matrix for the pseudo maximum likelihood estimator. We also study four special cases in this class, which are conditional heteroskedastic autoregressive moving-average models, regression models with ARCH errors, models with constant conditional correlations, and ARCH in mean models.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 79, Issue 8, April 2009, Pages 2556–2565
نویسندگان
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