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Equation by equation estimation of the semi-diagonal BEKK model with covariates

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  • Thieu, Le Quyen

Abstract

This paper provide the asymptotic normality of the Equation by Equation estimator for the semi-diagonal BEKK models augmented by the exogenous variables. The results are obtained without assuming that the innovations are independent, which allows investigate different additional explanatory variables into the information set.

Suggested Citation

  • Thieu, Le Quyen, 2016. "Equation by equation estimation of the semi-diagonal BEKK model with covariates," MPRA Paper 75582, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:75582
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    References listed on IDEAS

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    More about this item

    Keywords

    BEKK-X; Equation by equation estimation; exogenous variables; covariates; semi-diagonal BEKK-X;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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