On the Univariate Representation of BEKK Models with Common Factors

Alain Hecq; Sebastien Laurent; Franz C. Palm

doi:10.1515/jtse-2015-0002

On the Univariate Representation of BEKK Models with Common Factors

Alain Hecq, Sebastien Laurent, Franz C. Palm

QE Econometrics

Research output: Contribution to journal › Article › Academic › peer-review

1 Citation (Scopus)

Original language	English
Pages (from-to)	91-113
Journal	Journal of Time Series Econometrics
Volume	8
Issue number	2
DOIs	https://doi.org/10.1515/jtse-2015-0002
Publication status	Published - Jul 2016

Keywords

common GARCH
factor models
BEKK
final equations

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10.1515/jtse-2015-0002

Cite this

Hecq, A., Laurent, S., & Palm, F. C. (2016). On the Univariate Representation of BEKK Models with Common Factors. Journal of Time Series Econometrics , 8(2), 91-113. https://doi.org/10.1515/jtse-2015-0002

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title = "On the Univariate Representation of BEKK Models with Common Factors",

keywords = "common GARCH, factor models, BEKK, final equations",

author = "Alain Hecq and Sebastien Laurent and Palm, {Franz C.}",

note = "Date source : Tick data from NYSE, AMEX and NASDAQ (50 most capitalized companies) over the period January 4, 1999 - December 31, 2008.",

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AU - Laurent, Sebastien

AU - Palm, Franz C.

N1 - Date source : Tick data from NYSE, AMEX and NASDAQ (50 most capitalized companies) over the period January 4, 1999 - December 31, 2008.

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KW - BEKK

KW - final equations

U2 - 10.1515/jtse-2015-0002

DO - 10.1515/jtse-2015-0002

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JO - Journal of Time Series Econometrics

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