Asymptotic Theory For A Vector Arma-Garch Model
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- Tse, Y. K., 2000.
"A test for constant correlations in a multivariate GARCH model,"
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Elsevier, vol. 98(1), pages 107-127, September.
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"Generalized autoregressive conditional heteroskedasticity,"
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- Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
- Jeantheau, Thierry, 1998. "Strong Consistency Of Estimators For Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 14(01), pages 70-86, February.
- Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
- J. Pfanzagl, 1969. "On the measurability and consistency of minimum contrast estimates," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 14(1), pages 249-272, December.
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