TY  - RPRT
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
PY  - 2017
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/22877
AB  - The purpose of the paper is to 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
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Random coefficient stochastic process
KW  - Off-diagonal parametric restrictions
KW  - Diagonal and Full BEKK
KW  - Regularity conditions
KW  - Asymptotic properties
KW  - Conditional volatility
KW  - Univariate and multivariate models.
TI  - The Fiction of Full BEKK
TY  - technical report
VL  - 2017
ER  -