Multivariate Variance Targeting in the BEKK-GARCH Model

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英文文献：Multivariate Variance Targeting in the BEKK-GARCH Model
英文文献作者：Rasmus S?ndergaard Pedersen,Anders Rahbek
英文文献摘要：
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.

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