Multivariate hyper-rotated GARCH-BEKK

DOI10.1515/JTSE-2021-0006MaRDI QIDQ2151746zbMATH OpenOpenAlexFDO

Authors Manabu Asai, Michael McAleer

Publication date 5 July 2022

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jtse-2021-0006

zbMATH Keywords

asymptotic normalityconsistencydiagonal BEKKhyper-rotated BEKKmultivariate GARCHquasi-maximum likelihood estimationrotated BEKK

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• A Lagrange multiplier test for causality in variance
• Asymptotic theory for a vector ARMA-GARCH model
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroscedastic Time Series Models
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 951459 (Why is no real title available?)
• Multivariate GARCH Models
• Multivariate rotated ARCH models
• Multivariate variance targeting in the BEKK-GARCH model
• On asymptotic theory for multivariate GARCH models
• Second-oder noncausality in multivariate GARCH processes
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• The estimation of multivariate random coefficient autoregressive models
• The Stability of Random Coefficient Autoregressive Models
• Vector linear time series models

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