On the Univariate Representation of BEKK Models with Common Factors

Alain Hecq, Sebastien Laurent, Franz C. Palm

Research output: Contribution to journalArticleAcademicpeer-review

1 Citation (Scopus)
Original languageEnglish
Pages (from-to)91-113
JournalJournal of Time Series Econometrics
Volume8
Issue number2
DOIs
Publication statusPublished - Jul 2016

Keywords

  • common GARCH
  • factor models
  • BEKK
  • final equations

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