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On the Univariate Representation of BEKK Models with Common Factors
Alain Hecq
, Sebastien Laurent
, Franz C. Palm
*
*
Corresponding author for this work
QE Econometrics
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Dive into the research topics of 'On the Univariate Representation of BEKK Models with Common Factors'. Together they form a unique fingerprint.
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Keyphrases
BEKK-GARCH Model
100%
Diagonal Model
100%
Conditional Volatility
100%
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
50%
High-order
50%
Volatility
50%
Multivariate Model
50%
Contagion Effect
50%
Conditional Variance
50%
Likelihood Ratio
50%
Common Source
50%
Parsimony
50%
Regression Approach
50%
Lower Order
50%
Asset Returns
50%
Reduced Rank Regression
50%
Rank Structure
50%
Reduced Rank
50%
Multivariate GARCH Models
50%
Dependent Systems
50%
Conditional Covariance
50%
Univariate GARCH
50%
Variance-covariance
50%
Marginal Process
50%
GARCH (1,1) Model
50%
Matrix Parameter
50%
Mathematics
Conditionals
100%
Common Factor
100%
Diagonal
66%
Matrix (Mathematics)
33%
Covariance
33%
Null
33%
GARCH Model
33%
Likelihood Ratio
33%
Conditional Variance
33%
Contagion Effect
33%
Good Property
33%
INIS
assets
100%
volatility
75%
multivariate analysis
50%
matrices
25%
correlations
25%
Economics, Econometrics and Finance
Volatility
100%
Generalized Autoregressive Conditional Heteroskedasticity
66%
Capital Market Returns
33%
ARCH Model
33%
Contagion Effect
33%