On the univariate representation of BEKK models with common factors

DOI10.1515/JTSE-2015-0002zbMATH Open1499.62305OpenAlexW1499609031MaRDI QIDQ1695673FDOQ1695673

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

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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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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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