• Asymptotic Theory for Rotated Multivariate GARCH Models 

      Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; Pauwels, Laurent
      Published 2019-03-20
      In 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 ...
      Open Access
      Working Paper