Tse, Y.K.; Tsui, Albert K.C. - EconWPA - 2000
In this paper we propose a new multivariate GARCH model with time- varying correlations. We adopt the vech … to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive … optimisation. Thus, our new model retains the intuition and interpretation of the univariate GARCH model and yet satisfies the …