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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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Mathematics
GARCH Model
100%
Variance
100%
Asymptotic Normality
50%
Estimating Function
50%
Likelihood Function
50%
Moment Condition
50%
Covariance
50%
Asymptotics
50%
Keyphrases
BEKK-GARCH Model
100%
Higher-order Moments
50%
Modified Likelihood
50%
Covariance Targeting
50%