Abstract
The BEKKmodel is one of the popular multivariate GARCH processes. The paper develops a new general asymmetric BEKK structure, which is based on recent empirical findings by semiparametric news impact curves. For estimating the new model, a Markov chain Monte Carlo technique is used. Empirical results for triviarte asset returns from firms in the US indicate that the deviance information criterion favors the new model with multivariate t distribution, and that there exist co-leverage effects among the three assets.
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