TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
PY  - 2016
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/27597
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...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Multivariate conditional volatility
KW  - Vector random coefficient autoregressive process
KW  - Asymmetry
KW  - Long memory
KW  - Dynamic conditional correlations
KW  - Regularity conditions
KW  - Asymptotic properties.
TI  - Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
TY  - technical report
VL  - 2016
ER  -