Multivariate Variance Targeting in the BEKK-GARCH Model
Year of publication: |
2012-11-14
|
---|---|
Authors: | Pedersen, Rasmus Søndergaard ; Rahbek, Anders |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Covariance targeting | Variance targeting | Multivariate GARCH | BEKK | Asymptotic theory | Time series |
-
Targeting estimation of CCC-Garch models with infinite fourth moments
Pedersen, Rasmus Søndergaard, (2014)
-
Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard, (2014)
-
Asai, Manabu, (2023)
- More ...
-
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
Kristensen, Dennis, (2010)
-
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
Cavaliere, Giuseppe, (2012)
-
Unit Root Vector Autoregression with volatility Induced Stationarity
Rahbek, Anders, (2012)
- More ...