Ling, Shiqing (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]
This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established. Consistency of the quasi- maximum likelihood estimator (QMLE) is proved under only the second-order...
