Multivariate Variance Targeting in the BEKK-GARCH Model
Copyright policy )Multivariate Variance Targeting in the BEKK-GARCH Model
This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By de finition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi ed likelihood function, or estimating function, corresponding to these two steps. Strong consistency is established under weak moment conditions, while sixth order moment restrictions are imposed to establish asymptotic normality. Included simulations indicate that the multivariately induced higher order moment constraints are indeed necessary.
Covariance targeting, Variance targeting, Multivariate GARCH, BEKK, Asymptotic theory, Time series, Time series, /dk/atira/pure/core/keywords/FacultyOfSocialSciences, Asymptotic theory, Covariance targeting; Variance targeting; Multivariate GARCH; BEKK; Asymptotic theory; Time series, Multivariate GARCH, Variance targeting, Covariance targeting, Faculty of Social Sciences, BEKK
Covariance targeting, Variance targeting, Multivariate GARCH, BEKK, Asymptotic theory, Time series, Time series, /dk/atira/pure/core/keywords/FacultyOfSocialSciences, Asymptotic theory, Covariance targeting; Variance targeting; Multivariate GARCH; BEKK; Asymptotic theory; Time series, Multivariate GARCH, Variance targeting, Covariance targeting, Faculty of Social Sciences, BEKK
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