Avarucci, Marco; Beutner, Eric; Zaffaroni, Paolo - In: Econometric Theory 29 (2013) 03, pp. 545-566
This paper questions whether it is possible to derive consistency and asymptotic normality of the Gaussian quasi-maximum likelihood estimator (QMLE) for possibly the simplest multivariate GARCH model, namely, the multivariate ARCH(1) model of the Baba, Engle, Kraft, and Kroner form, under weak...
