Multivariate Variance Targeting in the BEKK-GARCH Model

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This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By definition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modified likelihood function, or estimating function, corresponding to these two steps. Strong consis-tency is established under weak moment conditions, while sixth-order moment restrictions are imposed to establish asymptotic normality. Included simulations indicate that the multivariately induced higher-order moment constraints are necessary
Original languageEnglish
JournalEconometrics Journal
Volume17
Issue number1
Pages (from-to)24-55
ISSN1368-4221
DOIs
Publication statusPublished - 2014

    Research areas

  • Faculty of Social Sciences - Covariance targeting, Variance targeting, Multivariate GARCH, BEKK, Asymptotic theory, Time series

ID: 49889943