Multivariate Variance Targeting in the BEKK-GARCH Model-Reference-Cited by-同舟云学术

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Multivariate Variance Targeting in the BEKK-GARCH Model

Published:2012 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Pedersen Rasmus Søndergaard,Rahbek Anders

Publisher

Elsevier BV

Reference25 articles.

1. ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS

2. Expectation of quadratic forms in normal and nonnormal variables with applications;Y Bao;Journal of Statistical Planning and Inference,2010

3. Multivariate GARCH models: a survey;L Bauwens;Journal of Applied Econometrics,2006

4. Vector equilibrium correction models with non-linear discontinuous adjustments;F Bec;Econometrics Journal,2004

5. A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return;T Bollerslev;The Review of Economics and Statistics,1987

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Multivariate rotated ARCH models;Journal of Econometrics;2014-03

2. Multivariate Rotated ARCH Models;SSRN Electronic Journal;2012

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