Variance targeting estimation of the BEKK-X model

Le Quyen Thieu

MPRA Paper from University Library of Munich, Germany

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.

Keywords: BEKK model augmented with exogenous variables; BEKK-X model; Variance targeting estimation (VTE) (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2016-08-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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