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Multivariate hyper-rotated GARCH-BEKK - MaRDI portal

Multivariate hyper-rotated GARCH-BEKK (Q2151746)

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scientific article
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Multivariate hyper-rotated GARCH-BEKK
scientific article

    Statements

    title
    Multivariate hyper-rotated GARCH-BEKK (English)
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    author
    Manabu Asai
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    Michael McAleer
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    publication date
    5 July 2022
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    zbMATH Keywords
    rotated BEKK
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    hyper-rotated BEKK
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    diagonal BEKK
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    multivariate GARCH
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    quasi-maximum likelihood estimation
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    consistency
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    asymptotic normality
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    Identifiers

    zbMATH DE Number
    7553418
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    OpenAlex ID
    W4206658885
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