Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models … viewed as being linear in the squares, and that multivariate GARCH models are known to have a VARMA representation with non … paper is the inclusion of leverage, or asymmetric effects. Our modelling is undertaken in the context of a multivariate …