BEKKs (Q61440)
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Multivariate Conditional Volatility Modelling and Forecasting
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BEKKs |
Multivariate Conditional Volatility Modelling and Forecasting |
Statements
14 January 2024
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Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) <doi:10.1007/s00184-007-0130-y>.
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