期刊
JOURNAL OF MULTIVARIATE ANALYSIS
卷 84, 期 1, 页码 61-84出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/S0047-259X(02)00009-X
关键词
asymptotic normality; BEKK; consistency; GARCH; Martingale CLT
We provide in this paper asymptotic theory for the multivariate GARCH(p, q) process. Strong consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to conditions given by Jeantheau (Econometric Theory 14 (1998), 70) in conjunction with a result given by Boussama (Ergodicity, mixing and estimation in GARCH models, Ph.D. Dissertation, University of Paris 7, 1998) concerning the existence of a stationary and ergodic solution to the multivariate GARCH(p, q) process. We prove asymptotic normality of the quasi-MLE when the initial state is either stationary or fixed. (C) 2003 Elsevier Science (USA). All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据