QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
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DOI：
10.1017/s0266466611000156
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发表时间：
2011-08
影响因子：
0.8
通讯作者：
C. Francq;J. Zakoian
中科院分区：
文献类型：
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作者：
C. Francq;J. Zakoian
We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) of the parameters of a class of multivariate asymmetric generalized autoregressive conditionally heteroskedastic processes, allowing for cross leverage effects. The conditions required to establish the asymptotic properties of the QMLE are mild and coincide with the minimal ones in the univariate case. In particular, no moment assumption is made on the observed process. Instead, we require strict stationarity, for which a necessary and sufficient condition is established. The asymptotic results are illustrated by Monte Carlo experiments, and an application to a bivariate exchange rates series is proposed.
