Hafner, Christian M.; Preminger, Arie - In: Journal of Multivariate Analysis 100 (2009) 9, pp. 2044-2054
The paper investigates the asymptotic theory for a multivariate GARCH model in its general vector specification proposed by Bollerslev, Engle and Wooldridge (1988)Â [4], known as the VEC model. This model includes as important special cases the so-called BEKK model and many versions of factor...
