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- W2371798146 abstract "In this paper, we firstly introduce the conception of persistence in variance and then show that the BEKK model suggested by Engle and Kroner (1995) yields general the GARCH process. The integration and persistence of the BEKK model are discussed and the sufficient and necessary condition of co persistence in variance of the BEKK model is suggested. A parsimonious form of the BEKK models is given at the end of the paper." @default.
- W2371798146 created "2016-06-24" @default.
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- W2371798146 date "2001-01-01" @default.
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- W2371798146 title "Research on common persistence of BEKK model" @default.
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