Pedersen, Rasmus S.; Rahbek, Anders - In: Econometrics Journal 17 (2014) 1, pp. 24-55
In this paper, we consider 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...