Munich Personal RePEc Archive

Variance targeting estimation of the BEKK-X model

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

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Abstract

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.

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