Multivariate Variance Targeting in the BEKK-GARCH Model

Rasmus Søndergaard Pedersen; Anders Rahbek

doi:10.1111/ectj.12019

Multivariate Variance Targeting in the BEKK-GARCH Model

Rasmus Søndergaard Pedersen, Anders Rahbek

Department of Economics

Research output: Contribution to journal › Journal article › Research › peer-review

35 Citations (Scopus)

Abstract

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 modified likelihood function, or estimating function, corresponding to these two steps. Strong consis-tency is established under weak moment conditions, while sixth-order moment restrictions are imposed to establish asymptotic normality. Included simulations indicate that the multivariately induced higher-order moment constraints are necessary

Translated title of the contribution	Multivariate Variance Targeting in the BEKK-GARCH Model
Original language	English
Journal	Econometrics Journal
Volume	17
Issue number	1
Pages (from-to)	24-55
ISSN	1368-4221
DOIs	https://doi.org/10.1111/ectj.12019
Publication status	Published - 2014

Keywords

Faculty of Social Sciences
Covariance targeting
Variance targeting
Multivariate GARCH
BEKK
Asymptotic theory
Time series

Access to Document

10.1111/ectj.12019

3 Organisation of and participation in conference
1 Participation in workshop, seminar, course

67th European Meeting of the Econometric Society
Rasmus Søndergaard Pedersen (Speaker)
26 Aug 2013 → 30 Aug 2013
Activity: Participating in an event - types › Organisation of and participation in conference
6th Annual SoFiE Conference
Rasmus Søndergaard Pedersen (Speaker)
12 Jun 2013 → 14 Jun 2013
Activity: Participating in an event - types › Organisation of and participation in conference
3rd Humboldt-Copenhagen Conference on Financial Econometrics
Rasmus Søndergaard Pedersen (Speaker)
14 Mar 2013 → 16 Mar 2013
Activity: Participating in an event - types › Organisation of and participation in conference
PhD Seminar
Rasmus Søndergaard Pedersen (Speaker)
6 Mar 2013
Activity: Participating in an event - types › Participation in workshop, seminar, course

Cite this

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title = "Multivariate Variance Targeting in the BEKK-GARCH Model",

abstract = "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 modified likelihood function, or estimating function, corresponding to these two steps. Strong consis-tency is established under weak moment conditions, while sixth-order moment restrictions are imposed to establish asymptotic normality. Included simulations indicate that the multivariately induced higher-order moment constraints are necessary",

keywords = "Faculty of Social Sciences, Covariance targeting, Variance targeting, Multivariate GARCH, BEKK, Asymptotic theory, Time series",

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AB - 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 modified likelihood function, or estimating function, corresponding to these two steps. Strong consis-tency is established under weak moment conditions, while sixth-order moment restrictions are imposed to establish asymptotic normality. Included simulations indicate that the multivariately induced higher-order moment constraints are necessary

KW - Faculty of Social Sciences

KW - Covariance targeting

KW - Variance targeting

KW - Multivariate GARCH

KW - BEKK

KW - Asymptotic theory

KW - Time series

U2 - 10.1111/ectj.12019

DO - 10.1111/ectj.12019

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VL - 17

SP - 24

EP - 55

JO - Econometrics Journal

JF - Econometrics Journal

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ER -

Multivariate Variance Targeting in the BEKK-GARCH Model

Abstract

Keywords

Access to Document

Activities

67th European Meeting of the Econometric Society

6th Annual SoFiE Conference

3rd Humboldt-Copenhagen Conference on Financial Econometrics

PhD Seminar

Cite this