On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors

Luc Bauwens and Jean-Pierre Vandeuren ()
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Jean-Pierre Vandeuren: Département de Mathématiques, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium

No 1995038, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We provide conditions that enable to prove the weak consistency of the quasi maximum likelihood estimator of the parameters of a vector autoregressive model with GARCH(l,q) errors. The BEKK representation of Engle and Kroner (1995) is used t.o parametrize the multivariate GARCH process.

Date: 1995-06-01
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1995038

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