Asai, ManabuMcAleer, Michael2023-06-182023-06-182016Amemiya, T. (1985), Advanced Econometrics, Harvard University Press, Cambridge, MA, USA. Baba, Y., R. Engle, D. Kraft and K. Kroner (1985), “Multivariate Simultaneous Generalized ARCH”, Unpublished Paper, University of California, San Diego. Baillie R. T., T. Bollerslev, and H. O. Mikkelsen (1996), “Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 74, 3–30. Bauwens, L., S. Laurent, and J.V.K. Rombouts (2006), “Multivariate GARCH: A Survey”, Journal of Applied Econometrics, 21, 79–109 Bollerslev, T., and H. O. Mikkelsen (1996), “Modeling and Pricing Long-Memory in Stock Market Volatility”, Journal of Econometrics, 73, 151–184. Comte, F. and O. Lieberman (2003), “Asymptotic Theory for Multivariate GARCH Processes”, Journal of Multivariate Analysis, 84, 61-4. Engle, R.F. and K.F. Kroner (1995), “Multivariate Simultaneous Generalized ARCH”, Econometric Theory, 11, 122–150. Glosten, L., R. Jagannathan, and D. Runkle (1992), “On the Relation between the Expected Value and Volatility of Nominal Excess Returns on Stocks”, Journal of Finance, 46, 1779–1801. Jeantheau, T. (1998), “Strong Consistency of Estimators for Multivariate ARCH Models”, Econometric Theory, 14, 70–86. Kroner, K. and V. Ng (1998), “Modeling Asymmetric Comovements of Asset Returns”, Review Financial Studies, 11, 817–844. Ling, S., and M. McAleer (2002), “Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models”, Econometric Theory, 18, 722–729. Ling, S. and M. McAleer (2003), “Asymptotic Theory for A Vector ARMA-GARCH Model”, Econometric Theory, 19, 278–308. Martinet, G. and M. McAleer (2016), “On The Invertibility of EGARCH(p,q)”, to appear in Econometric Reviews. McAleer, M. (2005), “Automated Inference and Learning in Modeling Financial Volatility”, Econometric Theory, 21, 232–261. McAleer, M., F. Chan, S. Hoti and O. Lieberman(2008), “Generalized Autoregressive Conditional Correlation”, Econometric Theory, 24, 1554–1583. McAleer, M. and C. Hafner (2014), “A One Line Derivation of EGARCH”, conometrics, 2, 92–97. Silvennoinen, A., and T. Ter¨asvirta (2009), “Multivariate GARCH Models”, In T. G. Andersen, R.A. Davis, J.-P. Kreiss, and T. Mikosch (eds.), Handbook of Financial Time Series, 201–229, New York: Springer. McAleer, M., S. Hoti and F. Chan (2009), “Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility”, Econometric Reviews, 28, 422–440. M¨uller, U., M. Dacorogna, R. Dav, R. Olsen, O. Pictet, and J. von Weizsacker (1997), “Volatilities of Different Time Resolutions Analysing The Dynamics of Market Components”, Journal of Empirical Finance, 4, 213–239. Nicholls, D.F. and B.G. Quinn (1981), Random Coefficient Autoregressive Models: An Introduction, Lecture Notes in Statistics 11, New York: Springer. Tsay, R. (1987), “Conditional Heteroscedastic Time Series Models”, Journal of the American Statistical Association, 82, 590–604. Tweedie, R. (1988), “Invariant Measure for Markov Chains with No Irreducibility Assumptions”, Journal of Applied Probability, 25A, 275–285.2341-2356https://hdl.handle.net/20.500.14352/27597The 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.engAtribución-NoComercial-CompartirIgual 3.0 Españatechnical reporthttps://www.ucm.es/icaeopen accessC13C32C58Multivariate conditional volatilityVector random coefficient autoregressive processAsymmetryLong memoryDynamic conditional correlationsRegularity conditionsAsymptotic properties.Econometría (Economía)5302 Econometría