Multivariate variance targeting in the BEKK-GARCH model-Reference-Cited by-同舟云学术

Multivariate variance targeting in the BEKK-GARCH model

Published:2014-01-21 Issue:1 Volume:17 Page:24-55
ISSN:1368-4221
Container-title:The Econometrics Journal
language:en
Short-container-title:The Econometrics Journal

Author:

Pedersen Rasmus S.¹,Rahbek Anders¹²

Affiliation:

1. Department of Economics; University of Copenhagen; Oester Farimagsgade 5, Building 26 DK-1353 Copenhagen K Denmark

2. Center for Research in Econometric Analysis of Time Series; Department of Economics and Business, Aarhus University; Fuglesangs Allé 4 DK-8210 Aarhus V Denmark

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Reference35 articles.

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4. A conditionally heteroskedastic time series model for speculative prices and rates of return;Bollerslev;Review of Economics and Statistics,1987

5. Stationarity and geometric ergodicity of BEKK multivariate GARCH models;Boussama;Stochastic Processes and their Applications,2011

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