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17-069/III - Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management


  • Authors
    David Allen, Department of Mathematics, University of Sydney, Australia; Michael McAleer, Department of Quantitative Finance, National Tsing Hua University, Taiwan; Discipline of Business Analytics, University of Sydney Business School, Australia; Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands
  • Publication date
    July 31, 2017
  • Keywords
    DBEKK, BEKK, Regularity Conditions, Asymptotic Properties, Non-Parametric, Bias, Quantile regression.
  • JEL
    C13, C21, C58.