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...

Full description

Bibliographic Details
Main Authors: Manabu Asai, Chia-Lin Chang, Michael McAleer, Laurent Pauwels
Format: Article
Language:English
Published: MDPI AG 2021-05-01
Series:Econometrics
Subjects:
Online Access:https://www.mdpi.com/2225-1146/9/2/21

Similar Items