Over the last decades there has been a sizeable increase in trade and financial openness, triggered by current and capital account liberalization as well as improvements in transport and communication technologies. As a consequence, the importance of spillover effects is likely to have increased...

This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....