Many economic and financial time series exhibit time-varying volatility. GARCH models are tools for forecasting and analyzing the dynamics of this volatility. The co-movements in financial markets and financial assets around the globe have recently become the main area of interest of financial...

A bivariate model that allows for both a time-varying cointegrating matrix and time-varying cointegrating rank is presented. The model addresses the issue that, in real data, the validity of a constant cointegrating relationship may be questionable. The model nests the sub-models implied by...