Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:multivariate_GARCH_model
gptkb:statistical_analysis |
| gptkbp:abbreviation |
Baba-Engle-Kraft-Kroner GARCH
|
| gptkbp:appliesTo |
asset pricing
financial time series analysis portfolio risk management |
| gptkbp:characterizedBy |
parsimonious parameterization
positive definite covariance matrix |
| gptkbp:form |
H_t = C'C + A'ε_{t-1}ε_{t-1}'A + B'H_{t-1}B
|
| gptkbp:fullName |
Baba-Engle-Kraft-Kroner Generalized Autoregressive Conditional Heteroskedasticity model
|
| gptkbp:generalizes |
univariate GARCH model
|
| gptkbp:parameter |
conditional covariance matrix
|
| gptkbp:proposedBy |
gptkb:Robert_Engle
1995 Kevin Sheppard |
| gptkbp:relatedTo |
gptkb:DCC-GARCH_model
gptkb:CCC-GARCH_model |
| gptkbp:usedFor |
modeling time-varying covariance
modeling volatility clustering |
| gptkbp:usedIn |
financial econometrics
|
| gptkbp:bfsParent |
gptkb:DCC-GARCH_model
|
| gptkbp:bfsLayer |
7
|
| http://www.w3.org/2000/01/rdf-schema#label |
BEKK-GARCH model
|