He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2002
: conditional covariance matrix,multivariate GARCH,mul-
tivariate volatility model,random coefficient model,volatility forecasting … last fifteen years or so, the focus in modelling volatility has partly
shifted from univariate to multivariate … matrix, the general multivariate GARCHmodel
is not one of them. The necessary and sufficient conditions for the conditional …