Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity matrix fo...
Main Authors: | Manabu Asai, Chia-Lin Chang, Michael McAleer, Laurent Pauwels |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-05-01
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Series: | Econometrics |
Subjects: | |
Online Access: | https://www.mdpi.com/2225-1146/9/2/21 |
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