Francq, Christian; Zakoïan, Jean-Michel - In: Econometric Theory 28 (2012) 01, pp. 179-206
We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) of the parameters of a class of multivariate asymmetric generalized autoregressive conditionally heteroskedastic processes, allowing for cross leverage effects. The conditions required...