17-015/III - The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions

• Authors
  Chia-Lin Chang, National Chung Hsing University; Michael McAleer, National Tsing Hua University, Erasmus University Rotterdam, Complutense University of Madrid, Yokohama National University
• Publication date
  March 7, 2018

• Keywords
  Random coefficient stochastic process, Off-diagonal parametric restrictions, Diagonal BEKK, Full BEKK, Regularity conditions, Asymptotic properties, Conditional volatility, Univariate and multivariate models, Fossil fuels and carbon emissions
• JEL
  C22, C32, C52, C58