Bec, Frédérique; Rahbek, Anders; Shephard, Neil - Théorie Économique, Modélisation, Application … - 2008
In this paper we propose and analyse the Autoregressive Conditional Root (ACR) time series mmodel. It is a multivariate … the ACR process and its innovations, are shown to imply geometric ergodicity, stationarity and existence of moments …. Furthermore, we establish consistency and asymptotic normality of the maximum likelihood estimators in the ACR model. An …