Multivariate variance targeting in the BEKK–GARCH model

Rasmus Pedersen () and Anders Rahbek

Econometrics Journal, 2014, vol. 17, issue 1, 24-55

Abstract: In this paper, we consider asymptotic inference in the multivariate BEKK model based on (co)variance targeting (VT). By definition the VT estimator is a two‐step estimator and the theory presented is based on expansions of the modified likelihood function, or estimating function, corresponding to these two steps. Strong consistency is established under weak moment conditions, while sixth‐order moment restrictions are imposed to establish asymptotic normality. The simulations included indicate that the multivariately induced higher‐order moment constraints are necessary.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (41)

Downloads: (external link)
http://hdl.handle.net/10.1111/ectj.12019

Related works:
Working Paper: Multivariate Variance Targeting in the BEKK-GARCH Model (2012)
Working Paper: Multivariate Variance Targeting in the BEKK-GARCH Model (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:emjrnl:v:17:y:2014:i:1:p:24-55

Ordering information: This journal article can be ordered from
http://onlinelibrary ... 1111/(ISSN)1368-423X

Access Statistics for this article

Econometrics Journal is currently edited by Jaap Abbring, Victor Chernozhukov, Michael Jansson and Dennis Kristensen

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().