Asymptotic theory for rotated multivariate GARCH models

Manabu Asai (Faculty of Economics, Soka University, Japan), Chia-Lin Chang (Department of Applied Economics & Department of Finance, National Chung Hsing University, Taiwan), Michael McAleer (Department of Finance, Asia University, Taiwan, Discipline of Business Analytics, University of Sydney Business School, Australia, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands, Department of Economic Analysis and ICAE, Complutense University of Madrid, Spain, Institute of Advanced Sciences, Yokohama National University, Japan), Laurent Pauwels (Discipline of Business Analytics, University of Sydney Business School, Australia)