Munich Personal RePEc Archive

Variance targeting estimation of the BEKK-X model

Thieu, Le Quyen (2016): Variance targeting estimation of the BEKK-X model.

[thumbnail of MPRA_paper_75572.pdf]

Download (448kB) | Preview


This paper studies the BEKK model with exogenous variables (BEKK-X), which intends to take into account the influence of explanatory variables on the conditional covariance of the asset returns. Strong consistency and asymptotic normality of a variance targeting estimator (VTE) is proved. Monte Carlo experiments and an application to financial series illustrate the asymptotic results.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.