On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors
AbstractWe provide conditions that enable to prove the weak consistency of the quasi maximum likelihood estimator of the parameters of a vector autoregressive model with GARCH(l,q) errors. The BEKK representation of Engle and Kroner (1995) is used t.o parametrize the multivariate GARCH process.
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Bibliographic InfoPaper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 1995038.
Date of creation: 01 Jun 1995
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