[Forum SIS] UNIBO Statistics Seminars

[Silvia Cagnone]

We are glad to announce the following  Statistics Seminar:


Thursday, November 8, 4 pm

Seminar Room, via delle Belle Arti 41, Bologna





 Michael McAleer

(Asia University, Taiwan)
Asymptotic Theory for Rotated Multivariate GARCH Models


Abstract:


In this paper, we derive the statistical properties of a two step approach to estimating multivariate GARCH rotated BEKK (RBEKK) models. By the definition of rotated BEKK, we estimate the unconditional covariance matrix in the first step in order to rotate observed variables to have the identity matrix for its sample covariance matrix. In the second step, we estimate the remaining parameters via maximizing the quasi-likelihood function. For this two step quasi-maximum likelihood (2sQML) estimator, we show consistency and asymptotic normality under weak conditions. While second-order moments are needed for consistency of the estimated unconditional covariance matrix, the existence of finite sixth-order moments are required for convergence of the second-order derivatives of the quasi-log-likelihood function.
We also show the relationship of the asymptotic distributions of the 2sQML estimator for the RBEKK model and the variance targeting (VT) QML estimator for the VT-BEKK model.
Monte Carlo experiments show that the bias of the 2sQML estimator is negligible, and that the appropriateness of the diagonal specification depends on the closeness to either of the Diagonal BEKK and the Diagonal RBEKK models.





Contact persons: Giuseppe Cavaliere, Alessandra Luati


The schedule of the statistics seminars are available at http://www.stat.unibo.it/it/dipartimento/seminari-di-statistica-2018



Silvia Cagnone
Dipartimento di Scienze Statistiche "Paolo Fortunati"
Universita' di Bologna
Via delle belle arti 41 - 40126  Bologna,  ITALY
Tel: +39 051 2098213<tel:%2B39%20051%202098213>  Fax: +39 051 232153<tel:%2B39%20051%20232153>
http://www2.stat.unibo.it/cagnone/

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