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The conditions required to establish the asymptotic properties of the QMLE are mild and coincide with the minimal ones in the univariate case. In particular, no moment assumption is made on the observed process. Instead, we require strict stationarity, for which a necessary and sufficient condition is established. The asymptotic results are illustrated by Monte Carlo experiments, and an application to a bivariate exchange rates series is proposed.<\/jats:p>","DOI":"10.1017\/s0266466611000156","type":"journal-article","created":{"date-parts":[[2011,8,3]],"date-time":"2011-08-03T11:22:16Z","timestamp":1312370536000},"page":"179-206","source":"Crossref","is-referenced-by-count":69,"title":["QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS"],"prefix":"10.1017","volume":"28","author":[{"given":"Christian","family":"Francq","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jean-Michel","family":"Zako\u00efan","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2011,8,3]]},"reference":[{"key":"S0266466611000156_ref40","doi-asserted-by":"publisher","DOI":"10.1214\/009053606000000803"},{"key":"S0266466611000156_ref39","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_9"},{"key":"S0266466611000156_ref38","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-0679-8"},{"key":"S0266466611000156_ref32","first-page":"422","article-title":"Generalized autoregressive conditional correlation","volume":"28","author":"McAleer","year":"2009","journal-title":"Econometric Theory"},{"key":"S0266466611000156_ref31","doi-asserted-by":"crossref","DOI":"10.2307\/2531754","volume-title":"Matrix Differential Calculus with Applications in Statistics and Econometrics","author":"Magnus","year":"1988"},{"key":"S0266466611000156_ref27","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466604205059"},{"key":"S0266466611000156_ref25","first-page":"223","article-title":"The identification of vector mixed autoregressive-moving average systems","volume":"56","author":"Hannan","year":"1969","journal-title":"Biometrika"},{"key":"S0266466611000156_ref24","doi-asserted-by":"publisher","DOI":"10.1016\/j.jspi.2010.06.026"},{"key":"S0266466611000156_ref23","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608090117"},{"key":"S0266466611000156_ref22","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"S0266466611000156_ref20","doi-asserted-by":"publisher","DOI":"10.1198\/jasa.2009.0117"},{"key":"S0266466611000156_ref17","doi-asserted-by":"crossref","unstructured":"Engle R.F. and Sheppard K. 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