TY  - RPRT
AU  - Allen, David E.
AU  - McAleer, Michael
PY  - 2017
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/22920
AB  - The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is...
LA  - eng
A3  - Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - DBEKK
KW  - BEKK
KW  - Regularity Conditions
KW  - Asymptotic Properties
KW  - Non-Parametric
KW  - Bias
KW  - Qantile regression.
TI  - Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management
TY  - technical report
VL  - 2017
ER  -