TY  - RPRT
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
PY  - 2018
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17428
AB  - The purpose of the paper is to (i) show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive...
LA  - eng
KW  - Random coefficient stochastic process
KW  - Off-diagonal parametric restrictions
KW  - Diagonal BEKK
KW  - Full BEKK
KW  - Regularity conditions
KW  - Asymptotic properties
KW  - Conditional volatility
KW  - Univariate and multivariate models
KW  - Fossil fuels and carbon emissions.
TI  - The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions
TY  - technical report
VL  - 2018
ER  -