Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21
diagonal BEKK or the diagonal RBEKK models. An empirical analysis of the returns of stocks listed on the Dow Jones Industrial … Average indicates that the choice of the diagonal BEKK or diagonal RBEKK models changes over time, but most of the differences …