Asymptotic theory for a factor GARCH model
AbstractThis paper investigates the asymptotic theory for a factor GARCH model. Sufficient conditions for strict stationarity, existence of certain moments, geometric ergodicity and - mixing with exponential decay rates are established. These conditions allow for volatility spill-over and integrated GARCH. We then show the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) of the model parameters. The results are obtained under the finiteness of the fourth order moment of the innovations.
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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 2006071.
Date of creation: 00 Sep 2006
Date of revision:
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multivariate GARCH; factor model; geometric ergodicity; maximum likelihood; consistency; asymptotic normality;
Other versions of this item:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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