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• W1573546625 abstract "We establish the strong consistency and asymptotic normality of thequasi-maximum likelihood estimator of the parameters of a class ofmultivariate GARCH processes. The conditions are mild and coincide with the minimal ones in the univariate case.In particular, contrary to the current literature on the estimation of multivariate GARCH models,no moment assumption is made on the observed process. Instead, we require strict stationarity, for which a necessary and sufficient condition is established." @default.
• W1573546625 created "2016-06-24" @default.
• W1573546625 creator A5027881244 @default.
• W1573546625 creator A5068286603 @default.
• W1573546625 date "2010-02-01" @default.
• W1573546625 modified "2023-10-16" @default.
• W1573546625 title "QML estimation of a class of multivariate GARCH models without moment conditions on the observed process" @default.
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