The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of...

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...