The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts...

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics

We build on two contributions that have found conditions for large dimensional networks or systems to generate long memory in their individual components, and provide a multivariate methodology for modeling and forecasting series displaying long range dependence. We model long memory properties...