Multivariate Variance Targeting in the BEKK-GARCH Model
AbstractThis paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By defi?nition 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.
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Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2012-53.
Date of creation: 14 Nov 2012
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Covariance targeting; Variance targeting; Multivariate GARCH; BEKK; Asymptotic theory; Time series.;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-06 (All new papers)
- NEP-ECM-2012-12-06 (Econometrics)
- NEP-ETS-2012-12-06 (Econometric Time Series)
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