A relatively simple and convenient score test of normality in the bivariate probit model is derived. Monte Carlo simulations show that the small sample performance of the bootstrapped test is quite good. The test may be readily extended to testing normality in related models.

The Dynamic Conditional Correlation model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s twosteps estimate of the model can be easily extended to elliptical conditional...

This paper tests a partially Segmented ICAPM using an asymmetric multivariate GARCH specification for two developed markets, two emerging markets and World market. We find that this asymmetric process provides a significantly better fit of the data than a standard symmetric process. The evidence...