Jane, Ten-Der; Ding, Cherng - In: Applied Economics Letters 16 (2009) 17, pp. 1757-1761
In this aticle, the extension of Nelson's (1991) univariate EGARCH model to the multivariate version has been reexamined and compared with the existing one given by Koutmos and Booth (1995). The magnitude and sign of standardized innovations have been constrained in Koutmos and Booth's...
