Variance targeting estimation of the BEKK-X model

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

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: BEKK model augmented with exogenous variables, BEKK-X model, Variance targeting estimation (VTE)
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General

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