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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