On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

Shuangzhe Liu and Heinz Neudecker

Mathematics and Computers in Simulation (MATCOM), 2009, vol. 79, issue 8, 2556-2565

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.

Keywords: CHARMA; R-ARCH; CCC; ARCH-M; Asymptotic variance matrix (search for similar items in EconPapers)
JEL-codes: C13 C32 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:79:y:2009:i:8:p:2556-2565

DOI: 10.1016/j.matcom.2008.12.008

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