In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension … even solve the curse of dimensionality problem. Identification and estimation of structured specifications are analyzed …

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility … related to relatively infrequent changes in regime. Using the theory of Markov chains we provide sufficient conditions for the …

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …