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- W2026527199 abstract "We consider a general multivariate conditional heteroskedastic model under a conditional distribution that is not necessarily normal. This model contains autoregressive conditional heteroskedastic (ARCH) models as a special class. We use the pseudo maximum likelihood estimation method and derive a new estimator of the asymptotic variance matrix for the pseudo maximum likelihood estimator. We also study four special cases in this class, which are conditional heteroskedastic autoregressive moving-average models, regression models with ARCH errors, models with constant conditional correlations, and ARCH in mean models." @default.
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- W2026527199 date "2009-04-01" @default.
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- W2026527199 title "On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity" @default.
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- W2026527199 doi "https://doi.org/10.1016/j.matcom.2008.12.008" @default.
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