Multivariate Variance Targeting in the BEKK-GARCH Model

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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).”
Fitting Vast Dimensional Time-Varying Covariance Models (2020, methodology): “A computationally less demanding variant was proposed by Engle and Mezrich (1996) and studied theoretically in Pedersen and Rahbek (2014) (referred to as PR henceforth).”