Seo, Byeongseon - Econometric Society - 2004
, generalized autoregressive conditional heteroskedasticity (GARCH), was made by Engle (1982) and Bollerslev (1986) to explain the … the error correction model and the multivariate GARCH process jointly. The existing estimation methods, including the … typical characteristics of these variables. Although there is vast literature on the cointegrating vector and GARCH, the …