Multivariate variance targeting in the BEKK-GARCH model

DOI10.1111/ECTJ.12019MaRDI QIDQ5093221zbMATH OpenOpenAlexFDO

Authors Rasmus Søndergaard Pedersen, Anders Rahbek

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL http://www.econ.ku.dk/english/research/publications/wp/dp_2012/1223.pdf

zbMATH Keywords

asymptotic theoryBEKKcovariance targetingmultivariate GARCHtime seriesvariance targeting

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(25)

• Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
• Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
• Testing for nonlinearity in conditional covariances
• Multivariate hyper-rotated GARCH-BEKK
• Incorporating overnight and intraday returns into multivariate GARCH volatility models
• Mean targeting estimator for the integer-valued GARCH(1, 1) model
• Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
• Realized BEKK-CAW models
• Targeting estimation of CCC-GARCH models with infinite fourth moments
• ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS
• Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
• Tests for conditional ellipticity in multivariate GARCH models
• Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
• Time series models for realized covariance matrices based on the matrix-F distribution
• Parallel constrained Hamiltonian Monte Carlo for BEKK model comparison
• Dynamic conditional eigenvalue GARCH
• Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
• Dynamic partial correlation models
• High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
• Fitting Vast Dimensional Time-Varying Covariance Models
• Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
• A test for time-varying smooth transition conditional covariance models in multivariate time series
• Matrix GARCH Model: Inference and Application
• Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing
• On the tail behavior of a class of multivariate conditionally heteroskedastic processes

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