Focus on the monthly log returns of the S&P composite index and HPQ stock. Build a BEKK

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Focus on the monthly log returns of the S&P composite index and HPQ stock. Build a BEKK model for the bivariate series. What is the fitted model? Plot the fitted volatility series and the time-varying correlations.

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Analysis Of Financial Time Series

ISBN: 9780470414354

3rd Edition

Authors: Ruey S. Tsay

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Question Posted: May 07, 2024 12:00 PM

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Focus on the monthly log returns of the S&P composite index and HPQ stock. Build a BEKK

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Analysis Of Financial Time Series

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