Overview
Kenneth F. Kroner is an econometrician (University of Arizona; later a quantitative-investment practitioner at Barclays Global Investors / BlackRock) known for foundational work on multivariate GARCH modeling of financial volatility.
Key Contributions / Features
- BEKK multivariate GARCH (Engle-Kroner 1995): with Robert Engle, the positive-definite-by-construction parameterization of multivariate GARCH (the "K" in Baba-Engle-Kraft-Kroner), a standard model for time-varying covariance matrices (GARCH and BEKK-GARCH).
- Work on modeling and forecasting financial-market volatility and covariances.
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