A Note on Estimating Wishart Autoregressive Model

Kurzanzeige
dc.contributor.authorHalbleib, Roxana
dc.date.accessioned2014-09-22T14:23:57Zdeu
dc.date.available2014-09-22T14:23:57Zdeu
dc.date.issued2010deu
dc.description.abstractThis 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.eng
dc.description.versionpublished
dc.identifier.doi10.2139/ssrn.1589372deu
dc.identifier.ppn414742265deu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/29008
dc.language.isoengdeu
dc.legacy.dateIssued2014-09-22deu
dc.relation.ispartofseriesECARES working paper;2010-043deu
dc.rightsterms-of-usedeu
dc.rights.urihttps://rightsstatements.org/page/InC/1.0/deu
dc.subjectWishart Autoregressive Processdeu
dc.subjectAsymptotic Propertiesdeu
dc.subjectRealized Co- Variancedeu
dc.subjectLog-Normal Distributiondeu
dc.subject.ddc330deu
dc.subject.jelC32, C46, C51deu
dc.titleA Note on Estimating Wishart Autoregressive Modeleng
dc.typeWORKINGPAPERdeu
dspace.entity.typePublication
kops.citation.bibtex
@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}
}
kops.citation.iso690CHIRIAC, Roxana, 2010. A Note on Estimating Wishart Autoregressive Modeldeu
kops.citation.iso690CHIRIAC, Roxana, 2010. A Note on Estimating Wishart Autoregressive Modeleng
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