Heteroskedasticity (MV-GARCH) techniques to isolate the time-varying conditional correlations from the conditional variance component …

models and comparing the estimated conditional variance, the paper will aim at drawing some implications and recommendations …

predicting statistically significant sudden and large shifts in the conditional variance of a vector of correlated macroeconomic …

model allows a nonlinear behavior in the conditional mean and in the conditional variance. The empirical results show that … the Ibex35 follows a nonlinear and asymmetric process, both in the conditional mean as in the conditional variance, so the …

in the Russian market because falling returns further increase conditional variance making the investors to expect a risk …