) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …

, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks … ; macroeconomics and financial factors ; Bayesian estimation …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany … characterized as a random walk process, whilst its volatility is less persistent and exhibits stationary long-memory behaviour …