Method evidence record

BEKK-GARCH

BEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return series. Named after Baba, Engle, Kraft, and Kroner, it is the dominant framework for quantifying volatility spillovers and dynamic correlations across multiple assets or markets simultaneously, widely adopted by financial economists and risk managers since the mid-1990s.

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BEKK Multivariate GARCH

Taxonomic method record · regression-model / econometrics

Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150. · DOI 10.1017/S0266466600009063

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Related methods

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Same method familyDCC-GARCHmachine-suggested · Relational suggestion, not evidence.Same method familyGARCH Modelmachine-suggested · Relational suggestion, not evidence.Same method familyVAR Modelmachine-suggested · Relational suggestion, not evidence.