Equation by equation estimation of the semi-diagonal BEKK model with covariates

This paper provide the asymptotic normality of the Equation by Equation estimator for the semi-diagonal BEKK models augmented by the exogenous variables. The results are obtained without assuming that the innovations are independent, which allows investigate different additional explanatory variables into the information set.

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Year of publication:	2016-09-01
Authors:	Thieu, Le Quyen

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Thieu, Le Quyen (2016): Equation by equation estimation of the semi-diagonal BEKK model with covariates.
Classification:	C10 - Econometric and Statistical Methods: General. General
Source:	BASE

Persistent link: https://www.econbiz.de/10015254108