In the empirical analysis of financial time series, multivariate GARCH models have been used in various forms. In most cases it is not well understood how the use of a restricted model has to be paid with loss of valuable information. We investigate the structural implications of two alternative...

A separation heuristic for mixed integer programs is presented that theoretically allows one to derive several families of " strong" valid inequalities for specific models and compuationally gives results as good as or better than those obtained from several existing separation routines...