A Note on Estimating Wishart Autoagressive Model

Roxana Halbleib ()

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: 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.

Keywords: Wishart autoagressive process; asymptotic properties; realized covariance; log-normal distribution (search for similar items in EconPapers)
JEL-codes: C32 C46 C51 (search for similar items in EconPapers)
Pages: 14 p.
Date: 2010-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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