Multivariate Variance Targeting in the BEKK-GARCH Model
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
In this paper, we consider asymptotic inference in the multivariate BEKK model based on (co)variance targeting (VT). By definition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modified likelihood function, or estimating function, corresponding to these two steps. Strong consistency is established under weak moment conditions, while sixth-order moment restrictions are imposed to establish asymptotic normality. The simulations included indicate that the multivariately induced higher-order moment constraints are necessary.
Bidragets oversatte titel | Multivariate Variance Targeting in the BEKK-GARCH Model |
---|---|
Originalsprog | Engelsk |
Tidsskrift | Econometrics Journal |
Vol/bind | 17 |
Udgave nummer | 1 |
Sider (fra-til) | 24-55 |
ISSN | 1368-4221 |
DOI | |
Status | Udgivet - 2014 |
- Det Samfundsvidenskabelige Fakultet
Forskningsområder
ID: 49889943