conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …-Maximum Likelihood Estimates (QMLE) of a full BEKK matrix, which is typically estimated in examining volatility spillover effects, has no … literature have used the DCC model to test for volatility spillovers. However, it is well known in the financial econometrics …

multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact …

GARCH model featuring pre-whitened return series, which are then analysed using both BEKK and diagonal BEKK models with the …

is developed to test the multivariate conditional volatility Diagonal BEKK model, which has valid regularity conditions … and asymptotic properties, against the alternative Full BEKK model, which has valid regularity conditions and asymptotic …