Message-ID: <1312399551526-3716597.post@n4.nabble.com>
Date: 2011-08-03T19:25:51Z
From: zoe_zhang
Subject: the significance of BEKK estimation
In-Reply-To: <1312399309745-3716586.post@n4.nabble.com>
Here is one more question,
How could I input an asymmetry in volatility speci cation in the BEKK
function?
As far as I know, the BEKK estimation function is
mvBEKK.est(eps, order = c(1,1), params = NULL, fixed = NULL, method =
"BFGS", verbose = F)
I totally have no idea to exert an asymmetry into.
Many thanks!
Sincere,
Zoe
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