A Note on Estimating Wishart Autoagressive Model
This note solves the puzzle of estimating degenerate Wishart Autoagressive processes, introduced by Gourieroux, Jasiak and Sufana (2009)to model multivariate stochastic volatility. It derives the asymptotic and empirical properties of the Method of Moment estimator of the Wishart degrees of freedom subject to different stationarity asumptions and specific distributional settings of the underlying processes.
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