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Stationarity and geometric ergodicity of BEKK multivariate GARCH models

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Cited by:

  1. Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
  2. Thieu, Le Quyen, 2016. "Variance targeting estimation of the BEKK-X model," MPRA Paper 75572, University Library of Munich, Germany.
  3. Cho, Haeran & Korkas, Karolos K., 2022. "High-dimensional GARCH process segmentation with an application to Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 23(C), pages 187-203.
  4. Benjamin Poignard & Jean-David Fermanian, 2016. "Vine-GARCH process: Stationarity and Asymptotic Properties," Working Papers 2016-03, Center for Research in Economics and Statistics.
  5. Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science.
  6. Jean-David Fermanian & Hassan Malongo, 2013. "On the Stationarity of Dynamic Conditional Correlation Models," Working Papers 2013-26, Center for Research in Economics and Statistics.
  7. Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019. "Time series models for realized covariance matrices based on the matrix-F distribution," Papers 1903.12077, arXiv.org, revised Jul 2020.
  8. Marco Barassi & Lajos Horváth & Yuqian Zhao, 2020. "Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 340-349, April.
  9. Mayerhofer, Eberhard & Stelzer, Robert & Vestweber, Johanna, 2020. "Geometric ergodicity of affine processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4141-4173.
  10. Francq, Christian & Zakoian, Jean-Michel, 2014. "Estimating multivariate GARCH and stochastic correlation models equation by equation," MPRA Paper 54250, University Library of Munich, Germany.
  11. Manabu Asai & Mike K. P. So, 2021. "Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 271-294, May.
  12. Noureddine Benlagha, 2014. "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 49-60, November.
  13. Francq, Christian & Sucarrat, Genaro, 2017. "An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 16-32.
  14. Sander Barendse & Andrew J. Patton, 2022. "Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1057-1069, June.
  15. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
  16. Resende, Paulo Angelo Alves & Dorea, Chang Chung Yu, 2016. "Model identification using the Efficient Determination Criterion," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 229-244.
  17. 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(3), pages 545-566, June.
  18. Asai, M. & Chang, C-L. & McAleer, M.J. & Pauwels, L., 2018. "Asymptotic Theory for Rotated Multivariate GARCH Models," Econometric Institute Research Papers EI2018-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  19. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017. "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers 2017-34, Department of Economics and Business Economics, Aarhus University.
  20. Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone, 2022. "Identification of structural multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 227(1), pages 212-227.
  21. Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".
  22. Volker Krätschmer & Henryk Zähle, 2017. "Statistical Inference for Expectile-based Risk Measures," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(2), pages 425-454, June.
  23. Thieu, Le Quyen, 2016. "Equation by equation estimation of the semi-diagonal BEKK model with covariates," MPRA Paper 75582, University Library of Munich, Germany.
  24. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
  25. Rasmus Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Papers 1701.05091, arXiv.org, revised Dec 2017.
  26. Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2022. "Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 532-557, July.
  27. Fengler, Matthias & Polivka, Jeannine, 2021. "Identifying structural shocks to volatility through a proxy-MGARCH model," Economics Working Paper Series 2103, University of St. Gallen, School of Economics and Political Science, revised May 2021.
  28. Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," Working Papers 2021-05, Center for Research in Economics and Statistics.
  29. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper 72197, University Library of Munich, Germany, revised 10 Jun 2016.
  30. Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org, revised Mar 2016.
  31. Asai Manabu & So Mike K. P., 2023. "Realized BEKK-CAW Models," Journal of Time Series Econometrics, De Gruyter, vol. 15(1), pages 49-77, January.
  32. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017. "A Justification of Conditional Confidence Intervals," Papers 1710.00643, arXiv.org, revised Jan 2019.
  33. Manabu Asai & Chia-Lin Chang & Michael McAleer & Laurent Pauwels, 2021. "Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models," Econometrics, MDPI, vol. 9(2), pages 1-21, May.
  34. Herwartz, Helmut & Roestel, Jan, 2022. "Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  35. Shuxin Guo, 2021. "Do futures lead the index under stress? Evidence from the 2015 Chinese market turmoil and its aftermath," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 91-110, January.
  36. Stefan Bruder, 2018. "Inference for structural impulse responses in SVAR-GARCH models," ECON - Working Papers 281, Department of Economics - University of Zurich.
  37. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  38. Pedersen, Rasmus Søndergaard, 2017. "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Journal of Econometrics, Elsevier, vol. 196(1), pages 23-36.
  39. Andre Lucas & Anne Opschoor & Luca Rossini, 2021. "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers 21-010/III, Tinbergen Institute, revised 11 Jul 2023.
  40. Cheng Yu & Dong Li & Feiyu Jiang & Ke Zhu, 2023. "Matrix GARCH Model: Inference and Application," Papers 2306.05169, arXiv.org.
  41. Christian Francq & Jean-Michel Zakoïan, 2016. "Estimating multivariate volatility models equation by equation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 613-635, June.
  42. Hafner, Christian & Herwartz, Helmut, 2022. "Asymmetric volatility impulse response functions," LIDAM Discussion Papers ISBA 2022037, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  43. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2019. "Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models," MPRA Paper 93048, University Library of Munich, Germany.
  44. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
  45. Francisco Blasques & Andre Lucas & Erkki Silde, 2013. "Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models," Tinbergen Institute Discussion Papers 13-097/IV/DSF59, Tinbergen Institute.
  46. Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.
  47. Asai, Manabu, 2023. "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, vol. 25(C), pages 23-38.
  48. Hafner, Christian M. & Herwartz, Helmut, 2023. "Asymmetric volatility impulse response functions," Economics Letters, Elsevier, vol. 222(C).
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