Multivariate GARCH models are in principle able to accommodate the features of the dynamic conditional covariances; nonetheless the interaction between model parametrization of the second conditional moment and the conditional density of asset returns adopted in the estimation determines the...

We explore some aspects of the analysis of latent component structure in non-stationary time series based on time-varying autoregressive (TVAR) models that incorporate uncertainty on model order. Our modelling approach assumes that the AR coefficients evolve in time according to a random walk...