What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model

What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model

Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances need to be calculated. Optimal hedge ratios are unlikely to rem...

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Bibliographic Details
Main Author: Michael McAleer
Format: Article
Language:English
Published: MDPI AG 2019-04-01
Series:Journal of Risk and Financial Management
Subjects:
hedging
covariances
existence
mathematical regularity
inevitability
likelihood function
statistical asymptotic properties
caveats
practical implementation
Online Access:https://www.mdpi.com/1911-8074/12/2/66

Internet

https://www.mdpi.com/1911-8074/12/2/66

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