On the univariate representation of BEKK models with common factors

DOI10.1515/JTSE-2015-0002MaRDI QIDQ1695673zbMATH OpenOpenAlexFDO

Authors Alain Hecq, Sébastien Laurent, Franz C. Palm

Publication date 7 February 2018

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

Full work available at URL https://cris.maastrichtuniversity.nl/ws/files/543926/guid-72254d4e-903e-4cf5-a17c-6b801d0c8af2-ASSET1.0.pdf

zbMATH Keywords

factor modelsBEKKcommon GARCHfinal equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• Generating univariate fractional integration within a large VAR(1)
• HAC estimation and strong linearity testing in weak ARMA models
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• Marginalization and contemporaneous aggregation in multivariate GARCH processes
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• Robust Wald Tests in Sur Systems with Adding-up Restrictions
• Studying co-movements in large multivariate data prior to multivariate modelling
• Temporal Aggregation of Garch Processes
• Testing for common autocorrelation in data-rich environments
• Time series analysis and simultaneous equation econometric models
• Volatility and Links between National Stock Markets

Cited in

(2)

• Generating univariate fractional integration within a large VAR(1)
• Liquidity and volatility in the U.S. Treasury market

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