Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models … effects of shocks to the conditional variance, as opposed to the conditional mean. HH use the fact that GARCH models can be … viewed as being linear in the squares, and that multivariate GARCH models are known to have a VARMA representation with non …