This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the … imposed when the ratio of volatilities is time-varying. Simulations demonstrate that estimated covariance matrices become more … indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …

guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann … equivalent representations of econometric models", Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing … tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the …