Multivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of generality. A new type of multivariate GARCH model is proposed, in which potentially large covariance matrices can be...

This paper investigates the divergence between the two Hicksian welfare measures of non-traded amenity improvement associated with housing. First, the Hicksian surplus measures for amenity changes are analytically developed based on explicit specification of utility structures. A hedonic...