英文文献：Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model-乘法时变平滑过渡相关GARCH模型最大似然估计的相合性和渐近正态性
英文文献作者：Annastiina Silvennoinen,Timo Ter?svirta
英文文献摘要：
A new multivariate volatility model that belongs to the family of conditional correlation GARCH models is introduced. The GARCH equations of this model contain a multiplicative deterministic component to describe long-run movements in volatility and, in addition, the correlations are deterministically time-varying. Parameters of the model are estimated jointly using maximum likelihood. Consistency and asymptotic normality of maximum likelihood estimators is proved. Numerical aspects of the estimation algorithm are discussed. A bivariate empirical example is provided.

介绍了一种新的多变量波动率模型，它属于条件相关GARCH模型族。该模型的GARCH方程包含一个乘法确定性成分，以描述波动率的长期运动，此外，相关是决定性的时变。利用极大似然法联合估计了模型的参数。证明了极大似然估计的相合性和渐近正态性。讨论了估计算法的数值方面。给出了一个二元的经验例子。