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DTSTART:20210328T010000
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DTSTART;TZID=Europe/Helsinki:20211021T110000
DTEND;TZID=Europe/Helsinki:20211021T120000
DTSTAMP:20260712T013844
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SUMMARY:Baye Matar KANDJI (CREST) "Inference on multiplicative component GARCH without any small-order moment"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 11:00 pm\nDate: 21th of October 2021\nRoom : 3001 \nBaye Matar KANDJI (CREST) “Inference on multiplicative component GARCH without any small-order moment” \nAbstract :We investigate the existence of strictly stationary solutions and the asymptotic properties of Quasi-Maximum Likelihood (QML) estimation for a class of multiplicative two component (short-term and long-run volatilities) GARCH models. We show that the strict stationarity condition is compatible with the infiniteness of any small-order power moment\, contrary to the classical GARCH setting. The strong consistency and asymptotic normality of the QML estimator are established under mild conditions. Our results are illustrated via Monte Carlo experiments and real financial data. \nJoint work : Christian FRANCQ and Jean-Michel ZAKOIAN \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n\n
URL:https://crest.science/event/baye-matar-kandji-crest-inference-on-multiplicative-component-garch-without-any-small-order-moment/
CATEGORIES:Finance-Insurance,Financial Econometrics
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