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.