2003•Journal of Multivariate AnalysisOpen access

Asymptotic theory for multivariate GARCH processes

Fabienne Comte, Offer Lieberman

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Key concepts: Mathematics, Estimator, Asymptotic distribution, Ergodicity, Autoregressive conditional heteroskedasticity, Ergodic theory, Multivariate statistics, Strong consistency

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Asymptotic theory for multivariate GARCH processes — Research Paper | ScholarLens