16-071/III - Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

• Authors
  Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Yokohama National University, Japan
• Publication date
  September 5, 2016

• Keywords
  Multivariate conditional volatility, Vector random coefficient autoregressive process, Asymmetry, Long memory, Dynamic conditional correlations, Regularity conditions, Asymptotic properties
• JEL
  C13, C32, C58