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Multivariate Variance Targeting in the BEKK-GARCH Model
Rasmus Søndergaard Pedersen
,
Anders Rahbek
Department of Economics
21
Citations (Scopus)
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Dive into the research topics of 'Multivariate Variance Targeting in the BEKK-GARCH Model'. Together they form a unique fingerprint.
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Business & Economics
GARCH Model
100%
Targeting
85%
Strong Consistency
77%
Two-step Estimator
73%
Higher Order Moments
67%
Moment Conditions
65%
Asymptotic Normality
64%
Multivariate Models
59%
Inference
40%
Estimator
38%
Simulation
32%