Add to ORKGThis 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
Persistently high negative covariances between risky assets and hedging instruments are intended to ...
The purpose of the paper is to (i) show that univariate GARCH is not a special case of multivariate ...
Persistently high negative covariances between risky assets and hedging instruments are intended to ...
This paper studies the BEKK model with exogenous variables (BEKK-X), which intends to take into acco...
This paper provide the asymptotic normality of the Equation by Equation estimator for the semi-diago...
This PhD Dissertation is dedicated to the study of probabilistic and statistical properties of volat...
We establish the strong consistency and the asymptotic normality of the variance-targeting estimato...
The asymptotic distribution of the Gaussian quasi-maximum likelihood estimator (QMLE) is obtained fo...
The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model...
In this paper, we derive the statistical properties of a two step approach to estimating multivaria...
The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model ...
The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed and its statistical propert...
The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARC...
Cette thèse de doctorat a pour objectif principal d'étudier certaines propriétés probabilistes et st...
The management and monitoring of very large portfolios of financial assets are routine for many indi...
Persistently high negative covariances between risky assets and hedging instruments are intended to ...
The purpose of the paper is to (i) show that univariate GARCH is not a special case of multivariate ...
Persistently high negative covariances between risky assets and hedging instruments are intended to ...
This paper studies the BEKK model with exogenous variables (BEKK-X), which intends to take into acco...
This paper provide the asymptotic normality of the Equation by Equation estimator for the semi-diago...
This PhD Dissertation is dedicated to the study of probabilistic and statistical properties of volat...
We establish the strong consistency and the asymptotic normality of the variance-targeting estimato...
The asymptotic distribution of the Gaussian quasi-maximum likelihood estimator (QMLE) is obtained fo...
The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model...
In this paper, we derive the statistical properties of a two step approach to estimating multivaria...
The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model ...
The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed and its statistical propert...
The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARC...
Cette thèse de doctorat a pour objectif principal d'étudier certaines propriétés probabilistes et st...
The management and monitoring of very large portfolios of financial assets are routine for many indi...
Persistently high negative covariances between risky assets and hedging instruments are intended to ...
The purpose of the paper is to (i) show that univariate GARCH is not a special case of multivariate ...
Persistently high negative covariances between risky assets and hedging instruments are intended to ...