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

Bidragets oversatte titel: Multivariate Variance Targeting in the BEKK-GARCH Model

Rasmus Søndergaard Pedersen, Anders Rahbek

Økonomisk Institut

21 Citationer (Scopus)

Abstract

In this paper, we consider 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 consistency is established under weak moment conditions, while sixth-order moment restrictions are imposed to establish asymptotic normality. The simulations included indicate that the multivariately induced higher-order moment constraints are necessary.

Bidragets oversatte titel	Multivariate Variance Targeting in the BEKK-GARCH Model
Originalsprog	Engelsk
Tidsskrift	Econometrics Journal
Vol/bind	17
Udgave nummer	1
Sider (fra-til)	24-55
ISSN	1368-4221
DOI	https://doi.org/10.1111/ectj.12019
Status	Udgivet - feb. 2014

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Det Samfundsvidenskabelige Fakultet

Adgang til dokumentet

10.1111/ectj.12019

3 Organisation af og deltagelse i konference
1 Deltagelse i workshop, seminar og kursus

67th European Meeting of the Econometric Society
Pedersen, R. S. (Taler)
26 aug. 2013 → 30 aug. 2013
Aktivitet: Deltagelse i eller arrangement af en begivenhed - typer › Organisation af og deltagelse i konference
6th Annual SoFiE Conference
Pedersen, R. S. (Taler)
12 jun. 2013 → 14 jun. 2013
Aktivitet: Deltagelse i eller arrangement af en begivenhed - typer › Organisation af og deltagelse i konference
3rd Humboldt-Copenhagen Conference on Financial Econometrics
Pedersen, R. S. (Taler)
14 mar. 2013 → 16 mar. 2013
Aktivitet: Deltagelse i eller arrangement af en begivenhed - typer › Organisation af og deltagelse i konference
PhD Seminar
Pedersen, R. S. (Taler)
6 mar. 2013
Aktivitet: Deltagelse i eller arrangement af en begivenhed - typer › Deltagelse i workshop, seminar og kursus

Citationsformater

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

abstract = "In this paper, we consider 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 consistency is established under weak moment conditions, while sixth-order moment restrictions are imposed to establish asymptotic normality. The simulations included 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",

author = "Pedersen, {Rasmus S{\o}ndergaard} and Anders Rahbek",

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doi = "10.1111/ectj.12019",

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journal = "Econometrics Journal",

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AU - Pedersen, Rasmus Søndergaard

AU - Rahbek, Anders

PY - 2014/2

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AB - In this paper, we consider 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 consistency is established under weak moment conditions, while sixth-order moment restrictions are imposed to establish asymptotic normality. The simulations included 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

M3 - Journal article

SN - 1368-4221

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SP - 24

EP - 55

JO - Econometrics Journal

JF - Econometrics Journal

IS - 1

ER -

Multivariate Variance Targeting in the BEKK-GARCH Model

Abstract

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Adgang til dokumentet

Fingeraftryk

Aktiviteter

67th European Meeting of the Econometric Society

6th Annual SoFiE Conference

3rd Humboldt-Copenhagen Conference on Financial Econometrics

PhD Seminar

Citationsformater