Multivariate Variance Targeting in the BEKK-GARCH Model
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 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.
|Date of creation:||15 Nov 2012|
|Contact details of provider:|| Postal: Øster Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark|
Phone: (+45) 35 32 30 10
Fax: +45 35 32 30 00
Web page: http://www.econ.ku.dk
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012.
"On the forecasting accuracy of multivariate GARCH models,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 27(6), pages 934-955, 09.
- LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010. "On the forecasting accuracy of multivariate GARCH models," CORE Discussion Papers 2010025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
- Christian Francq & Lajos Horváth, 2011. "Merits and Drawbacks of Variance Targeting in GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(4), pages 619-656.
- Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN, 2009. "Merits and Drawbacks of Variance Targeting in GARCH Models," Working Papers 2009-17, Centre de Recherche en Economie et Statistique.
- Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2009. "Merits and drawbacks of variance targeting in GARCH models," MPRA Paper 15143, University Library of Munich, Germany.
- Jensen, S ren Tolver & Rahbek, Anders, 2004. "Asymptotic Inference For Nonstationary Garch," Econometric Theory, Cambridge University Press, vol. 20(06), pages 1203-1226, December.
- Avarucci, Marco & Beutner, Eric & Zaffaroni, Paolo, 2013. "On Moment Conditions For Quasi-Maximum Likelihood Estimation Of Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 29(03), pages 545-566, June.
- Marco Avarucci & Eric Beutner & Paolo Zaffaroni, 2012. "On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models," DSS Empirical Economics and Econometrics Working Papers Series 2012/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
- Francq, Christian & Zakoian, Jean-Michel, 2010. "QML estimation of a class of multivariate GARCH models without moment conditions on the observed process," MPRA Paper 20779, University Library of Munich, Germany.
- Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December. Full references (including those not matched with items on IDEAS)