multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact …

extremely small; DCC cannot be distinguished empirically from diagonal Baba, Engle, Kraft and Kroner (BEKK) in small systems … Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the …

This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By defi …

Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive … univariate and multivariate GARCH models. It is shown that the Full BEKK model, which in practice is estimated almost exclusively …

Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive … univariate and multivariate GARCH models. It is shown that the Full BEKK model, which in practice is estimated almost exclusively …