Caporin, Massimiliano; McAleer, Michael - In: Journal of Forecasting 27 (2008) 6, pp. 537-549
The paper derives the scalar special case of the well-known BEKK multivariate GARCH model using a multivariate extension of the random coefficient autoregressive (RCA) model. This representation establishes the relevant structural and asymptotic properties of the scalar BEKK model using the...