Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

The present thesis comprises two rather independent chapters. In general, the diagnosis and quantification of dependence is a major aim of econometric studies. Along these lines, the concept of dependence serves as an encompassing framework to analyze time series with two very different...