Aktiviteter pr. år
Abstract
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 to these two steps. Strong consistency is established under weak moment conditions, while sixth-order moment restrictions are imposed to establish asymptotic normality. The simulations included indicate that the multivariately induced higher-order moment constraints are necessary.
Bidragets oversatte titel | Multivariate Variance Targeting in the BEKK-GARCH Model |
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Originalsprog | Engelsk |
Tidsskrift | Econometrics Journal |
Vol/bind | 17 |
Udgave nummer | 1 |
Sider (fra-til) | 24-55 |
ISSN | 1368-4221 |
DOI | |
Status | Udgivet - 2014 |
Emneord
- Det Samfundsvidenskabelige Fakultet
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67th European Meeting of the Econometric Society
Rasmus Søndergaard Pedersen (Taler)
26 aug. 2013 → 30 aug. 2013Aktivitet: Deltagelse i arrangement eller begivenhed - typer › Organisation af og deltagelse i konference
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6th Annual SoFiE Conference
Rasmus Søndergaard Pedersen (Taler)
12 jun. 2013 → 14 jun. 2013Aktivitet: Deltagelse i arrangement eller begivenhed - typer › Organisation af og deltagelse i konference
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3rd Humboldt-Copenhagen Conference on Financial Econometrics
Rasmus Søndergaard Pedersen (Taler)
14 mar. 2013 → 16 mar. 2013Aktivitet: Deltagelse i arrangement eller begivenhed - typer › Organisation af og deltagelse i konference
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PhD Seminar
Rasmus Søndergaard Pedersen (Taler)
6 mar. 2013Aktivitet: Deltagelse i arrangement eller begivenhed - typer › Deltagelse i workshop, seminar og kursus