Multivariate variance targeting in the BEKK-GARCH model

DOI10.1111/ectj.12019OpenAlexW3123643089MaRDI QIDQ5093221

Anders Rahbek, Rasmus Søndergaard Pedersen

Publication date: 26 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: http://www.econ.ku.dk/english/research/publications/wp/dp_2012/1223.pdf

zbMATH Keywords

time seriesasymptotic theorymultivariate GARCHBEKKcovariance targetingvariance targeting

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (14)

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models ⋮ Multivariate hyper-rotated GARCH-BEKK ⋮ CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH ⋮ Time series models for realized covariance matrices based on the matrix-F distribution ⋮ Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages ⋮ Incorporating overnight and intraday returns into multivariate GARCH volatility models ⋮ Dynamic conditional eigenvalue GARCH ⋮ Testing for nonlinearity in conditional covariances ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ Realized BEKK-CAW models ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ On the tail behavior of a class of multivariate conditionally heteroskedastic processes ⋮ Mean targeting estimator for the integer-valued GARCH(1, 1) model ⋮ Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models

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