regularity conditions, and associated asymptotic theory. Therefore, the derivation of a multivariate conditional volatility model …

The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate … autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model …

regularity conditions, and associated asymptotic theory. Therefore, the derivation of a multivariate conditional volatility model …

The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate … autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model …

conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi … and testing spillovers between the energy and agricultural markets has typically been based on estimating multivariate …

conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi … and testing spillovers between the energy and agricultural markets has typically been based on estimating multivariate …

this chapter, further evidence on the use of multivariate conditional volatility models in hedge fund risk measurement and …