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Strong Consistency Of Estimators For Multivariate Arch Models

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Author Info
Jeantheau, Thierry
Abstract

This paper deals with the asymptotic properties of quasi-maximum likelihood estimators for multivariate heteroskedastic models. For a general model, we give conditions under which strong consistency can be obtained; unlike in the current literature, the assumptions on the existence of moments of the error term are weak, and no study of the various derivatives of the likelihood is required. Then, for a particular model, the multivariate GARCH model with constant correlation, we describe the set of parameters where these conditions hold.

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File URL: http://journals.cambridge.org/abstract_S0266466698141038
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 14 (1998)
Issue (Month): 01 (February)
Pages: 70-86
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Handle: RePEc:cup:etheor:v:14:y:1998:i:01:p:70-86

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