Browsing Discipline of Business Analytics by subject "Asymptotic normality"
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Asymptotic Theory for Rotated Multivariate GARCH Models
Published 2019-03-20In this paper, we derive the statistical properties of a two step approach to estimating multivariate GARCH rotated BEKK (RBEKK) models. By the definition of rotated BEKK, we estimate the unconditional covariance matrix ...Working Paper