Avarucci, Marco; Beutner, Eric; Zaffaroni, Paolo - Dipartimento di Scienze Statistiche, Facoltà di … - 2012
This paper questions whether it is possible to derive consistency and asymptotic normality of the Gaussian quasi-maximum likelihood estimator (QMLE) for possibly the simplest VEC-GARCH model, namely the multivariate ARCH(1) model of the BEKK form, under weak moment conditions similar to the...