Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149475
Authors: 
Asai, Manabu
McAleer, Michael
Year of Publication: 
2016
Series/Report no.: 
Tinbergen Institute Discussion Paper 16-071/III
Abstract: 
The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical estimation. For this purpose, we use an underlying vector random coefficient autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model, to derive asymptotic theory for the quasi-maximum likelihood estimator. As an extension, we develop a new multivariate asymmetric long memory volatility model, and discuss the associated asymptotic properties.
Subjects: 
Multivariate conditional volatility
Vector random coefficient autoregressive process
Asymmetry
Long memory
Dynamic conditional correlations
Regularity conditions
Asymptotic properties
JEL: 
C13
C32
C58
Document Type: 
Working Paper

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