QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

By Christian Francq, Jean-Michel Zakoian. Econometric Theory, 2011

71 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a94756110c0a9160a3189cbd4aa84d4c958f9b32

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In Economics and Econometrics

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Citations in the corpus

• Multivariate Variance Targeting in the BEKK-GARCH Model (2014, unknown): “…in the multivariate BEKK model are similarly in contrast to the very mild conditions found for univariate GARCH models, see e.g. Jensen and Rahbek (2004) and Francq and Zakoïan (2012) who find that asymptotic inference in the GARCH model is feasible even if the observed process is explosive.”
• MGARCH models: Trade-off between feasibility and flexibility (2018, background): “More recently, Francq and Zakoïan (2012) establish the strong consistency and asymptotic normality of the G-QML estimator under mild conditions that coincide with the minimal ones in the univariate case.”