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Variance targeting estimation of the BEKK-X model

Author

Listed:
  • Thieu, Le Quyen
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.

Suggested Citation

  • Thieu, Le Quyen, 2016. "Variance targeting estimation of the BEKK-X model," MPRA Paper 75572, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:75572
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    BEKK model augmented with exogenous variables; BEKK-X model; Variance targeting estimation (VTE);
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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