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 definition 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 University of Copenhagen. Department of Economics in its series Discussion Papers with number 12-23.
Length: 33 pages
Date of creation: 15 Nov 2012
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-06 (All new papers)
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