Multivariate Variance Targeting in the BEKK-GARCH Model

Rasmus Pedersen () and Anders Rahbek

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By defi?nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi?ed likelihood function, or estimating function, corresponding to these two steps. Strong consistency is established under weak moment conditions, while sixth order moment restrictions are imposed to establish asymptotic normality. Included simulations indicate that the multivariately induced higher-order moment constraints are indeed necessary.

Keywords: Covariance targeting; Variance targeting; Multivariate GARCH; BEKK; Asymptotic theory; Time series. (search for similar items in EconPapers)
JEL-codes: C32 C51 C58 (search for similar items in EconPapers)
Pages: 33
Date: 2012-11-14
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Journal Article: Multivariate variance targeting in the BEKK–GARCH model (2014)
Working Paper: Multivariate Variance Targeting in the BEKK-GARCH Model (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2012-53

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