McAleer, Michael; Chan, Felix; Hoti, Suhejla; … - In: Econometric Theory 24 (2008) 06, pp. 1554-1583
This paper develops a generalized autoregressive conditional correlation (GARCC) model when the standardized residuals follow a random coefficient vector autoregressive process. As a multivariate generalization of the Tsay (1987, <italic>Journal of the American Statistical Association</italic> 82, 590–604)...