the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we account …. We provide an empirical illustration for a panel of daily global equity returns. …

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

, which is consistent with policy measures taken by the European Central Bank. The findings are robust to a wide range of …

To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … explain the upward trend. To correct for that, we extend the panel model (a gravity model) by including a time trend that may …

-driven dynamics. The new models are highly flexible, scalable to high dimensions, and ensure positivity of covariance and correlation … matrices. The model retains a closed-form likelihood expression, thus allowing for straightforward parameter estimation and … likelihood inference. We apply the new model to a large panel of 100 U.S. stocks over the period 2001{2014. The proposed multi …