A1274
Title: Constrained QML estimation for multivariate asymmetric MEM with spillovers: The practicality of matrix inequalities
Authors: Menelaos Karanasos - Brunel University (United Kingdom) [presenting]
Abstract: The aim is to 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 fulfilled. 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 effectiveness of the proposed method.
