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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/111731


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/111731


    Title: Theoretical and empirical differences between diagonal and full BEKK for risk management
    Authors: All, David E.;Allen, David E.;馬可立;McAleer, Michael;*
    Contributors: 財務金融學系
    Date: 2018-06
    Issue Date: 2018-12-25 11:01:04 (UTC+8)
    Abstract: The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is not a special case of multivariate GARCH, speci cally, the Full BEKK model, and demonstrate that Full BEKK which, in practice, is estimated almost exclusively, has no underlying stochastic process, regularity conditions, or asymptotic properties. Diagonal BEKK (DBEKK) does not suffer from these limitations, and hence provides a suitable benchmark. We use simulated nancial returns series to contrast estimates of the conditional variances and covariances from DBEKK and BEKK. The results of non-parametric tests suggest evidence of considerable bias in the Full BEKK estimates. The results of quantile regression analysis show there is a systematic relationship between the two sets of estimates as we move across the quantiles. Estimates of conditional variances from Full BEKK, relative to those from DBEKK, are lower in the left tail and higher in the right tail.
    Relation: Energies
    Appears in Collections:[財務金融學系] 期刊論文

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