RT Report
T1 Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
A1 Asai, Manabu
A1 McAleer, Michael
AB The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical estimation. For this purpose, we use an underlying vector random coefficient autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model, to derive asymptotic theory for the quasi-maximum likelihood estimator. As an extension, we develop a new multivariate asymmetric long memory volatility model, and discuss the associated asymptotic properties.
PB Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
SN 2341-2356
YR 2016
FD 2016
LK https://hdl.handle.net/20.500.14352/27597
UL https://hdl.handle.net/20.500.14352/27597
LA eng
DS Docta Complutense
RD 6 abr 2025