On the Forecasting Accuracy of Multivariate GARCH Models

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MGARCH models: Trade-off between feasibility and flexibility (2018, methodology): “However, the version of the BEKK model predominantly fitted in practice restricts K = 1;6 see, for instance, Hafner and Herwartz (2006), Silvennoinen and Teräsvirta (2009a), Rossi and Spazzini (2010), Caporin and McAleer (2012), Laurent et al. (2012), Pedersen and Rahbek (2014) and Burda (2015).”
Multivariate Variance Targeting in the BEKK-GARCH Model (2014, methodology): “Such forecasts may be based on estimation of multivariate conditionally heteroscedastic (GARCH) models such as the BEKK model proposed by Engle and Kroner (1995), see e.g. Bauwens, Laurent, and Rombouts (2006) and Laurent, Rombouts, and Violante (2012).”
Can Speaker Augmentation Improve Multi-Speaker End-to-End TTS? (2020, methodology): “We computed Frobenius distance [37, 38] between the confusion matrix for dialects of natural speech and those for each TTS system, based on the idea that if a confusion matrix for TTS is similar to the”
Estimating multivariate volatility models equation by equation (2016, background): “Full BEKK models are generally considered as unfeasible for large cross-sectional dimensions (see for instance Laurent et al. (2012)) and practitioners focus on diagonal, or even scalar, models.”