Multivariate GARCH models with spherical parameterizations: an oil price application

Abstract In popular Baba-Engle-Kraft-Kroner (BEKK) and dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity models, the large number of parameters and the requirement of positive definiteness of the covariance and correlation matrices pose some...

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Bibliographic Details
Published in:	Financial Innovation
Main Authors:	Luca Vincenzo Ballestra, Riccardo De Blasis, Graziella Pacelli
Format:	Article
Language:	English
Published:	SpringerOpen 2025-01-01
Subjects:	BEKK Cholesky-GARCH Crude oils DCC Exchange rates Spherical parameterization
Online Access:	https://doi.org/10.1186/s40854-024-00683-7

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