Multivariate variance targeting in the BEKK-GARCH model (Q5093221)
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scientific article; zbMATH DE number 7563579
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| English | Multivariate variance targeting in the BEKK-GARCH model |
scientific article; zbMATH DE number 7563579 |
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Multivariate variance targeting in the BEKK-GARCH model (English)
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26 July 2022
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asymptotic theory
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BEKK
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covariance targeting
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multivariate GARCH
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time series
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variance targeting
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0.822314441204071
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0.8200222849845886
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0.7954234480857849
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0.7950024604797363
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0.7839319109916687
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