A new approach is proposed to estimate a large class of multivariate volatility models. The method is based on estimating equation-by-equation the volatility parameters of the individual returns by quasi-maximum likelihood in a first step, and estimating the correlations based on...

We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of a class of multivariate GARCH processes. The conditions are mild and coincide with the minimal ones in the univariate case. In particular, contrary to the current...

We develop a new method for generating dynamics of conditional correlation matrices between asset returns. These correlation matrices will be parameterized by a subset of their partial correlations, whose structure will be described by an undirected graph called \vine". Since such partial...