Multivariate Variance Targeting in the BEKK-GARCH Model

TY - UNPB

T1 - Multivariate Variance Targeting in the BEKK-GARCH Model

AU - Pedersen, Rasmus Søndergaard

AU - Rahbek, Anders

PY - 2012

Y1 - 2012

N2 - This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By de…nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modi…ed like- lihood 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. Included simulations in- dicate that the multivariately induced higher-order moment constraints are indeed necessary.

AB - This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By de…nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modi…ed like- lihood 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. Included simulations in- dicate that the multivariately induced higher-order moment constraints are indeed necessary.

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - Multivariate Variance Targeting in the BEKK-GARCH Model

PB - Økonomisk institut, Københavns Universitet

CY - Kbh.

ER -