On the univariate representation of BEKK models with common factors

A.W. Hecq, F.C. Palm, S.F.J.A. Laurent

Research output: Working paperProfessional

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Original languageEnglish
Place of PublicationMaastricht
PublisherMETEOR, Maastricht University School of Business and Economics
Number of pages23
DOIs
Publication statusPublished - 1 Jan 2012

Publication series

SeriesMETEOR Research Memorandum
Number018

Cite this

Hecq, A. W., Palm, F. C., & Laurent, S. F. J. A. (2012). On the univariate representation of BEKK models with common factors. METEOR, Maastricht University School of Business and Economics. METEOR Research Memorandum, No. 018 https://doi.org/10.26481/umamet.2012018