Allen, David E.; McAleer, Michael - 2017
asymptotic properties. Diagonal BEKK (DBEKK) does not suffer from these limitations, and hence provides a suitable benchmark. We … use simulated financial returns series to contrast estimates of the conditional variances and covariances from DBEKK and … quantiles. Estimates of conditional variances from Full BEKK, relative to those from DBEKK, are lower in the left tail and …