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STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS

Published online by Cambridge University Press:  01 February 1998

Thierry Jeantheau
Thierry Jeantheau
Affiliation:
Université de Marne-la-Vallée
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Abstract

This paper deals with the asymptotic properties of quasi-maximum likelihood estimators for multivariate heteroskedastic models. For a general model, we give conditions under which strong consistency can be obtained; unlike in the current literature, the assumptions on the existence of moments of the error term are weak, and no study of the various derivatives of the likelihood is required. Then, for a particular model, the multivariate GARCH model with constant correlation, we describe the set of parameters where these conditions hold.

Type
Research Article
Information
Econometric Theory , Volume 14 , Issue 1 , February 1998 , pp. 70 - 86
Copyright
© 1998 Cambridge University Press

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