Multivariate variance targeting in the BEKK–GARCH model
Rasmus S. Pedersen and Anders Rahbek
| Year of publication: |
2014
|
|---|---|
| Authors: | Pedersen, Rasmus Søndergaard ; Rahbek, Anders |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 17.2014, 1, p. 24-55
|
| Subject: | Asymptotic theory | BEKK | Covariance targeting | Multivariate GARCH | Time series | Variance targeting | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility | Korrelation | Correlation |