Variance targeting estimation of the BEKK-X model

This paper studies the BEKK model with exogenous variables (BEKK-X), which intends to take into account the influence of explanatory variables on the conditional covariance of the asset returns. Strong consistency and asymptotic normality of a variance targeting estimator (VTE) is proved. Monte Carlo experiments and an application to financial series illustrate the asymptotic results.

MoreLess

Year of publication:	2016-08-01
Authors:	Thieu, Le Quyen

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Thieu, Le Quyen (2016): Variance targeting estimation of the BEKK-X model.
Classification:	C13 - Estimation
Source:	BASE

Persistent link: https://www.econbiz.de/10015254101