Multivariate Variance Targeting in the BEKK-GARCH Model

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Standard

Multivariate Variance Targeting in the BEKK-GARCH Model. / Pedersen, Rasmus Søndergaard; Rahbek, Anders.

I: Econometrics Journal, Bind 17, Nr. 1, 2014, s. 24-55.

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Harvard

Pedersen, RS & Rahbek, A 2014, 'Multivariate Variance Targeting in the BEKK-GARCH Model', Econometrics Journal, bind 17, nr. 1, s. 24-55. https://doi.org/10.1111/ectj.12019

APA

Pedersen, R. S., & Rahbek, A. (2014). Multivariate Variance Targeting in the BEKK-GARCH Model. Econometrics Journal, 17(1), 24-55. https://doi.org/10.1111/ectj.12019

Vancouver

Pedersen RS, Rahbek A. Multivariate Variance Targeting in the BEKK-GARCH Model. Econometrics Journal. 2014;17(1):24-55. https://doi.org/10.1111/ectj.12019

Author

Pedersen, Rasmus Søndergaard ; Rahbek, Anders. / Multivariate Variance Targeting in the BEKK-GARCH Model. I: Econometrics Journal. 2014 ; Bind 17, Nr. 1. s. 24-55.

Bibtex

@article{2b2bd79da9cc4b36a94d5ea0b021423b,
title = "Multivariate Variance Targeting in the BEKK-GARCH Model",
abstract = "This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By definition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modified likelihood function, or estimating function, corresponding to these two steps. Strong consis-tency 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 necessary",
keywords = "Faculty of Social Sciences, Covariance targeting, Variance targeting, Multivariate GARCH, BEKK, Asymptotic theory, Time series",
author = "Pedersen, {Rasmus S{\o}ndergaard} and Anders Rahbek",
year = "2014",
doi = "10.1111/ectj.12019",
language = "English",
volume = "17",
pages = "24--55",
journal = "Econometrics Journal",
issn = "1368-4221",
publisher = "Wiley",
number = "1",

}

RIS

TY - JOUR

T1 - Multivariate Variance Targeting in the BEKK-GARCH Model

AU - Pedersen, Rasmus Søndergaard

AU - Rahbek, Anders

PY - 2014

Y1 - 2014

N2 - This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By definition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modified likelihood function, or estimating function, corresponding to these two steps. Strong consis-tency 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 necessary

AB - This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By definition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modified likelihood function, or estimating function, corresponding to these two steps. Strong consis-tency 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 necessary

KW - Faculty of Social Sciences

KW - Covariance targeting

KW - Variance targeting

KW - Multivariate GARCH

KW - BEKK

KW - Asymptotic theory

KW - Time series

U2 - 10.1111/ectj.12019

DO - 10.1111/ectj.12019

M3 - Journal article

VL - 17

SP - 24

EP - 55

JO - Econometrics Journal

JF - Econometrics Journal

SN - 1368-4221

IS - 1

ER -

ID: 49889943