A Note on Estimating Wishart Autoregressive Model
ECARES working paper 2010‐043
14 Pages Posted: 15 Apr 2010 Last revised: 16 Jan 2011
Date Written: April 14, 2010
Abstract
This note solves the puzzle of estimating degenerate Wishart Autoregressive processes, introduced by Gourieroux, Jasiak and Sufana (2009) to model multivariate stochastic volatility. It derives the asymptotic and empirical properties of the Method of Moment estimator of the Wishart degrees of freedom subject to different stationarity assumptions and specific distributional settings of the underlying processes.
Keywords: Wishart Autoregressive Process, Asymptotic Properties, Realized Co- Variance, Log-Normal Distribution
JEL Classification: C32, C46, C51
Suggested Citation: Suggested Citation
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