, nine multivariate SV models, including the specifications with Granger causality in volatility, time varying correlations …

paper can easily be extended to investigate joint temporal and contemporaneous aggregation. Discussing causality in … volatility, I find that there is not much room for spurious instantaneous causality in multivariate GARCH processes, but that …

multivariate SV models, including the specifications with Granger causality in volatility, time-varying correlations, heavy …