Osiewalski, Jacek; Pajor, Anna - In: Central European Journal of Economic Modelling and … 1 (2009) 2, pp. 179-202
The aim of this paper is to examine the empirical usefulness of two new MSF - Scalar BEKK(1,1) models of n-variate volatility. These models formally belong to the MSV class, but in fact are some hybrids of the simplest MGARCH and MSV specifications. Such hybrid structures have been proposed as...
