期刊名称：Cardiff Economics Working Papers / Cardiff University, Cardiff Business School
印刷版ISSN：1749-6101
出版年度：2017
期号：14
语种：English
出版社：Cardiff University
摘要：In this paper, we review and generalize results on the derivation of tractable non-negativity (necessary and sufficient) conditions for N-dimensional asymmetric MEM and GARCH/HEAVY models with spillovers. We show that the non-negativity constraints are translated into simple matrix inequalities, which are easily handled. In practice, these conditions may not be fulÖlled. To deal with these cases, we propose a constrained QML estimation. We also obtain new theoretical results about the second moment structure and the optimal forecasts of such multivariate processes. Four empirical examples are included to show the e§ectiveness of the proposed method.
关键词：Constrained QML Estimation;GARCH;Matrix Inequalities;MEM;Multivariate Modelling;Second Moment Structure
