Multivariate hyper-rotated GARCH-BEKK

DOI10.1515/jtse-2021-0006OpenAlexW4206658885MaRDI QIDQ2151746

Michael McAleer, Manabu Asai

Publication date: 5 July 2022

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2021-0006

zbMATH Keywords

consistencyasymptotic normalitymultivariate GARCHquasi-maximum likelihood estimationdiagonal BEKKhyper-rotated BEKKrotated BEKK

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
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• Multivariate rotated ARCH models
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• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Multivariate GARCH Models
• Conditional Heteroscedastic Time Series Models
• The Stability of Random Coefficient Autoregressive Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Vector linear time series models
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• Multivariate variance targeting in the BEKK-GARCH model
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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