50th Anniv. Seminar Series on 'Consistency and asymptotic normality..' by Professor Timo TERÄSVIRTA
posted by Department of Statistics and Actuarial Science for HKU and Public
Event Type: Public Lecture/Forum/Seminar/Workshop/Conference/Symposium
Event Nature: Science & Technology
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
THE UNIVERSITY OF HONG KONG
50th Anniversary Seminar Series
Professor Timo TERÄSVIRTA
CREATES, Aarhus University
will give a talk
CONSISTENCY AND ASYMPTOTIC NORMALITY OF
MAXIMUM LIKELIHOOD ESTIMATORS OF
A MULTIPLICATIVE TIME-VARYING SMOOTH TRANSITION
CORRELATION GARCH MODEL
A new multivariate volatility model that belongs to the family of conditional correlation GARCH models is introduced. The GARCH equations of this model contain a multiplicative deterministic component to describe long-run movements in volatility and, in addition, the correlations are deterministically time-varying. Parameters of the model are estimated jointly using maximum likelihood. Consistency and asymptotic normality of maximum likelihood estimators are proved. Numerical aspects of the estimation algorithm are discussed. A bivariate empirical example is provided.
This is joint work with Annastiina Silvennoinen, QUT, Brisbane.
|Venue||Room 301, Run Run Shaw Building, HKU|
Registration is not required.