Asymptotic theory for a factor GARCH model Christian M. Hafner and Arie Preminger

By:

Hafner Christian M [author]

Contributor(s):

Preminger Arie [co-author]

Material type: Text

TextSeries: Econometric Theory ; Volume 25, number 2Cambridge : Cambridge University Press, 2009Content type:

text

Media type:

unmediated

Carrier type:

volume

Subject(s):

Estimation theory

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Summary: This paper investigates the asymptotic theory for a factor GARCH (generalized autoregressive conditional heteroskedasticity) model. Sufficient conditions for asymptotic stability and existence of moments are established. These conditions allow for volatility spillover 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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Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	vol. 25, no. 2 (pages 336-363)	SP3257	Not for loan	For in house use

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This paper investigates the asymptotic theory for a factor GARCH (generalized autoregressive conditional heteroskedasticity) model. Sufficient conditions for asymptotic stability and existence of moments are established. These conditions allow for volatility spillover 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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