Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management
The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer et al., 2017 show that univariate GARCH is not a special case of multivariate GARCH,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-06-01
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| Series: | Energies |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1996-1073/11/7/1627 |