A Note on Estimating Wishart Autoagressive Model

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.

MoreLess

Year of publication:	2010-12
Authors:	Halbleib, Roxana
Institutions:	European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
Subject:	Wishart autoagressive process \| asymptotic properties \| realized covariance \| log-normal distribution

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Working Papers ECARES.
Type of publication:	Book / Working Paper
Notes:	Published by: The text is part of a series ECARES Working Papers Number ECARES 2010-043 14 pages long
Classification:	C32 - Time-Series Models ; c46 ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008805640