Department of Economics and Business Economics

Timo Teräsvirta

Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model

Research output: ResearchWorking paper

Standard

Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. / Silvennoinen, Annestiina; Terasvirta, Timo.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

Research output: ResearchWorking paper

Harvard

APA

Silvennoinen, A., & Terasvirta, T. (2017). Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2017-28

CBE

MLA

Silvennoinen, Annestiina and Timo Terasvirta Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2017-28). 2017., 46 p.

Vancouver

Author

Silvennoinen, Annestiina ; Terasvirta, Timo. / Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. Aarhus : Institut for Økonomi, Aarhus Universitet, 2017. (CREATES Research Papers; No. 2017-28).

Bibtex

@techreport{177d285a8bcd4e0eba97932ea95dec08,
title = "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model",
abstract = "A new multivariate volatility model that belongs to the family of conditional correlation GARCH models is introduced. The GARCH equations of this model contain a multiplicative deterministic component to describe long-run movements in volatility and, in addition, the correlations are deterministically time-varying. Parameters of the model are estimated jointly using maximum likelihood. Consistency and asymptotic normality of maximum likelihood estimators is proved. Numerical aspects of the estimation algorithm are discussed. A bivariate empirical example is provided.",
keywords = "deterministically varying correlation, multiplicative time-varying GARCH, multivariate GARCH, nonstationary volatility, smooth transition GARCH",
author = "Annestiina Silvennoinen and Timo Terasvirta",
year = "2017",
month = "9",
publisher = "Institut for Økonomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for Økonomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model

AU - Silvennoinen,Annestiina

AU - Terasvirta,Timo

PY - 2017/9/4

Y1 - 2017/9/4

N2 - A new multivariate volatility model that belongs to the family of conditional correlation GARCH models is introduced. The GARCH equations of this model contain a multiplicative deterministic component to describe long-run movements in volatility and, in addition, the correlations are deterministically time-varying. Parameters of the model are estimated jointly using maximum likelihood. Consistency and asymptotic normality of maximum likelihood estimators is proved. Numerical aspects of the estimation algorithm are discussed. A bivariate empirical example is provided.

AB - A new multivariate volatility model that belongs to the family of conditional correlation GARCH models is introduced. The GARCH equations of this model contain a multiplicative deterministic component to describe long-run movements in volatility and, in addition, the correlations are deterministically time-varying. Parameters of the model are estimated jointly using maximum likelihood. Consistency and asymptotic normality of maximum likelihood estimators is proved. Numerical aspects of the estimation algorithm are discussed. A bivariate empirical example is provided.

KW - deterministically varying correlation, multiplicative time-varying GARCH, multivariate GARCH, nonstationary volatility, smooth transition GARCH

M3 - Working paper

BT - Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model

PB - Institut for Økonomi, Aarhus Universitet

ER -