Asymptotic theory for multivariate GARCH processes

By Fabienne Comte, Offer Lieberman. 2003

283 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/5fd93226bf80c58fae96e0d229e4a90d54c726de

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

In Statistics and Probability

Citations in the corpus

Sequential Conditional Correlations: Inference and Evaluation (2009, unknown): “Furthermore, since the dimensions of the parameters’ variance-covariance matrix are at least8 of order 7For example, Comte and Lieberman (2003) and Hafner and Preminger (2009) verify the conditions for consistency and asymptotic normality of the QMLE, but Chen and Fan (2006) and Kawakatsu (2006) do…”
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity (2009, methodology): “Comte and Lieberman (2003) provide asymptotic theory for the alternative BEKK model (based on an unpublished paper by Baba, Engle, Kraft and Kroner). Under the conditions of Jeantheau (1998) and Ling and McAleer (2003), the QML estimator is consistent with asymptotic distribution given by √ T (̂− )”
Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models (2009, unknown): “Using the consistency result proved in Jeantheau (1998), Comte and Lieberman (2003) established the asymptotic normality of the QMLE of BEKK under eighth order moments which, though stated explicitly, cannot be tested.”
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility (2009, background): “The primary purpose in each of these articles has typically been to examine the structure of the model rather than to derive the asymptotic properties of the estimators, with exceptions being Ling and Deng ( 1993 ), Jeantheau ( 1998 ), Ling and McAleer ( 2003a ), and Comte and Lieberman ( 2003 ).”
Evaluating GARCH models (2002, background): “The assumption E 3t = 0 that Comte and Lieberman (2000) do not need guarantees block diagonality of the information matrix of the log-likelihood function.”
Estimating multivariate volatility models equation by equation (2016, methodology): “Im.m+1/=2 − Â − B̂/vech ( 1 n n∑ t=1 t ′ t ) : For the general BEKK model (without assuming diagonality of the matrices B0j), the asymptotic properties of the QML method were derived by Comte and Lieberman (2003), though under some high level assumptions.”
Volatility impulse responses for multivariate GARCH models: An exchange rate illustration (2006, methodology): “Results for the asymptotic properties of the (Q)ML-estimator have been derived recently, see Jeantheau (1998) and Comte and Lieberman (2003).”
Multivariate GARCH Models: A Survey (2003, methodology): “Comte and Lieberman (2003) prove it for the BEKK formulation.”
A Multivariate Generalized Orthogonal Factor GARCH Model (2007, methodology): “Because our model is a special case of the BEKK model, asymptotic properties of the Gaussian ML estimators ̂, R̂1, and δ̂ can be inferred from the results of Comte and Lieberman (2003).”
Multivariate GARCH models (2008, methodology): “As the factor models listed in Section 2.2 are special cases of the BEKK model, the results of Comte and Lieberman (2003) and Hafner (2003) also apply to them.”
Analytical quasi maximum likelihood inference in multivariate volatility models (2003, background): “Comte and Lieberman (2003) provide a theoretical framework for multivariate GARCH models in a general specification.”
Pseudo-maximum likelihood estimation of ARCH(∞) models (2005, background): “However, the literature on asymptotic theory for estimates of GARCH models is now extensive, recent references including [3, 7, 12, 16, 22, 32], along with investigations of the properties of the models themselves; see recently [2, 18, 25].”
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION (2008, background): “`, which establishes C6 ~for details, see Comte and Lieberman, 2003, p+ 67!+ Under Assumption 1, C6, and the representation ~7!, E~Yt 6 t 1!, Ht , and Qt are continuous functions of the parameter l ~C5!+ Proof of Theorem 4.”