Multivariate Variance Targeting in the BEKK-GARCH Model
Publikation: Working paper › Forskning
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Multivariate Variance Targeting in the BEKK-GARCH Model. / Pedersen, Rasmus Søndergaard; Rahbek, Anders.
Kbh. : Økonomisk institut, Københavns Universitet, 2012.Publikation: Working paper › Forskning
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TY - UNPB
T1 - Multivariate Variance Targeting in the BEKK-GARCH Model
AU - Pedersen, Rasmus Søndergaard
AU - Rahbek, Anders
PY - 2012
Y1 - 2012
N2 - This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By de…nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modi…ed like- lihood 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 in- dicate that the multivariately induced higher-order moment constraints are indeed necessary.
AB - This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By de…nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modi…ed like- lihood 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 in- dicate that the multivariately induced higher-order moment constraints are indeed necessary.
M3 - Working paper
T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)
BT - Multivariate Variance Targeting in the BEKK-GARCH Model
PB - Økonomisk institut, Københavns Universitet
CY - Kbh.
ER -
ID: 43213526