Braione, Manuela; Scholtes, Nicolas K. - Center for Operations Research and Econometrics (CORE), … - 2014
Financial asset returns are known to be conditionally heteroskedastic and generally non-normally distributed, fat-tailed and often skewed. In order to account for both the skewness and the excess kurtosis in returns, we combine the BEKK model from the multivariate GARCH literature with different...