We propose sparse versions of multivariate GARCH models that allow for volatility and correlation spillover effects across assets. The proposed models are generalizations of existing diagonal DCC and BEKK models, yet they remain estimable for high-dimensional systems of asset returns. To cope...

This paper suggests a simple specification test to check the adequacy of the assumptions made about the distribution of individual effects in models where these unobservable random variables are integrated out by quadrature methods. Because the proposed test checks the specification of the...