A1275
Title: Dynamic correlation models based on vines: Asymptotic theory
Authors: Benjamin Poignard - Osaka University (Japan) [presenting]
Jean-David Fermanian - Ensae-Crest (France)
Abstract: The proposed vine-GARCH dynamics are estimated by the quasi-maximum likelihood method. We prove the consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters obtained in a two-step procedure.
