The paper considers the return and range model with dynamic conditional correlations (DCC). The paper suggests the new speci cations for the asymmetric effects on log-volatilities and dynamic correlations, combined with long-run dependences. The new DCC model can be estimated by the...

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...