conditions. A limitation in the development of asymptotic properties of the QMLE for EGARCH is the lack of an invertibility …

formal derivation of the asymptotic properties of the underlying Weighted Least Squares estimator. …

derivation of asymptotic properties of the Quasi-Maximum Likelihood Estimators. The paper shows that the DCC model can be …

derivation of asymptotic properties of the Quasi-Maximum Likelihood Estimators (QMLE). To date, the statistical properties of the …

properties; DCC is not a special case of GARCC, which has testable regularity conditions and standard asymptotic properties; DCC … moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …

properties; DCC is not a special case of GARCC, which has testable regularity conditions and standard asymptotic properties; DCC … moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …

regularity conditions and standard asymptotic properties; DCC is not dynamic empirically as the effect of news is typically … moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic … properties; DCC is not a special case of Generalized Autoregressive Conditional Correlation (GARCC), which has testable …