Teyssière, Gilles - Sonderforschungsbereich 373, Quantifikation und … - 1999
We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first … consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990 …), and we propose a new unrestricted conditional covariance matrix model which models the conditional covariances as long-memory …