Dear Tom,
I have estimated a triangular BEKK model to compare the results with the full BEKK in my dissertation using the RATS software program. However, I am looking for a paper that used the triangular BEKK in any previous study so that I can use that as a precedence. So far, I have found several papers that used the full BEKK model but I am unable to find a paper that used the triangular BEKK model. I wanted to ask if you know of any paper that used the triangular BEKK model in any research so that I can use it as my precedence?
Thank you
Triangular BEKK Model
Re: Triangular BEKK Model
I have no idea where it originated. This paper uses a TBEKK
Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2010.
"Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis," Emerging Markets Review, Elsevier, vol. 11(3), pages 250-260, September.
although it uses the opposite ordering from the RATS TBEKK. Their pre-multiplying matrix is upper triangular (lower triangular transposed) so the variance spillovers flow from bottom to top, which is a bit unnatural. However, it just involves reversing the order.
Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2010.
"Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis," Emerging Markets Review, Elsevier, vol. 11(3), pages 250-260, September.
although it uses the opposite ordering from the RATS TBEKK. Their pre-multiplying matrix is upper triangular (lower triangular transposed) so the variance spillovers flow from bottom to top, which is a bit unnatural. However, it just involves reversing the order.