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

Halbleib, Roxana, A Note on Estimating Wishart Autoregressive Model (April 14, 2010). ECARES working paper 2010‐043, Available at SSRN: https://ssrn.com/abstract=1589372 or http://dx.doi.org/10.2139/ssrn.1589372

Roxana Halbleib (Contact Author)

University of Konstanz ( email )

Universitaetsstr. 10
Box: D 124
78457 Konstanz
Germany

HOME PAGE: http://econometrics.wiwi.uni-konstanz.de/staff/halbleib.htm

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