Munich Personal RePEc Archive

Equation by equation estimation of the semi-diagonal BEKK model with covariates

Thieu, Le Quyen (2016): Equation by equation estimation of the semi-diagonal BEKK model with covariates.

[img]
Preview
PDF
MPRA_paper_75582.pdf

Download (831kB) | Preview

Abstract

This paper provide the asymptotic normality of the Equation by Equation estimator for the semi-diagonal BEKK models augmented by the exogenous variables. The results are obtained without assuming that the innovations are independent, which allows investigate different additional explanatory variables into the information set.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.