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Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
International Journal of Statistics and Probability
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,doi:10.5539/ijsp.v6n6p13 fatcat:myki4gstnzfeji5os33xie3y7y