کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1146525 | 957515 | 2009 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On asymptotic theory for multivariate GARCH models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز عددی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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 models, which are often used in practice. We provide sufficient conditions for strict stationarity and geometric ergodicity. The strong consistency of the quasi-maximum likelihood estimator (QMLE) is proved under mild regularity conditions which allow the process to be integrated. In order to obtain asymptotic normality, the existence of sixth-order moments of the process is assumed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 100, Issue 9, October 2009, Pages 2044–2054
Journal: Journal of Multivariate Analysis - Volume 100, Issue 9, October 2009, Pages 2044–2054
نویسندگان
Christian M. Hafner, Arie Preminger,