TY  - RPRT
AU  - Asai, Manabu
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
AU  - Laurent, Pauwels
PY  - 2018
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17446
AB  - 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 in the first step in order to...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - BEKK
KW  - Rotated BEKK
KW  - Diagonal BEKK
KW  - Variance targeting
KW  - Multivariate GARCH
KW  - Consistency
KW  - Asymptotic normality.
TI  - Asymptotic Theory for Rotated Multivariate GARCH Models
TY  - technical report
VL  - 2018
ER  -