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Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

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Asai, Manabu and McAleer, Michael (2016) Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 14, 2016, ISSN: 2341-2356 ]

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Abstract

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.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Multivariate conditional volatility, Vector random coefficient autoregressive process, Asymmetry, Long memory, Dynamic conditional correlations, Regularity conditions, Asymptotic properties.
Subjects:Social sciences > Economics > Econometrics
JEL:C13, C32, C58
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2016
Number:14
ID Code:39131
Deposited On:21 Sep 2016 11:40
Last Modified:21 Sep 2016 11:40

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