Publikation: A Note on Estimating Wishart Autoregressive Model
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2010
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ECARES working paper;2010-043
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Zusammenfassung
This note solves the puzzle of estimating degenerate Wishart Autoregressive 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 assumptions and specific distributional settings of the underlying processes.
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Fachgebiet (DDC)
330 Wirtschaft
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Wishart Autoregressive Process, Asymptotic Properties, Realized Co- Variance, Log-Normal Distribution
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CHIRIAC, Roxana, 2010. A Note on Estimating Wishart Autoregressive ModelBibTex
@techreport{Chiriac2010Estim-29008,
year={2010},
doi={10.2139/ssrn.1589372},
series={ECARES working paper;2010-043},
title={A Note on Estimating Wishart Autoregressive Model},
author={Chiriac, Roxana}
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<dcterms:abstract xml:lang="eng">This note solves the puzzle of estimating degenerate Wishart Autoregressive 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 assumptions and specific distributional settings of the underlying processes.</dcterms:abstract>
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