This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By defi?nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi?ed likelihood function, or estimating function, corresponding to...

As an alternative to quasi-maximum likelihood, targeting estimation is a much applied estimation method for univariate and multivariate GARCH models. In terms of variance targeting estimation recent research has pointed out that at least finite fourth-order moments of the data generating process...

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 modifi?ed likelihood function, or estimating function, corresponding to...