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^*

^*Corresponding author for this work

QE Econometrics

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

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

@article{a99836e8c03245029564605c85ac0961,

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.",

year = "2016",

month = jul,

doi = "10.1515/jtse-2015-0002",

language = "English",

volume = "8",

pages = "91--113",

journal = "Journal of Time Series Econometrics ",

issn = "2194-6507",

publisher = "De Gruyter",

number = "2",

}

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T1 - On the Univariate Representation of BEKK Models with Common Factors

AU - Hecq, Alain

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.

PY - 2016/7

Y1 - 2016/7

KW - common GARCH

KW - factor models

KW - BEKK

KW - final equations

U2 - 10.1515/jtse-2015-0002

DO - 10.1515/jtse-2015-0002

M3 - Article

VL - 8

SP - 91

EP - 113

JO - Journal of Time Series Econometrics

JF - Journal of Time Series Econometrics

SN - 2194-6507

IS - 2

ER -