A model M is said to encompass another model N if the former can explain the results obtained by the latter. In this paper, we propose a general notion of encompassing that covers both classical and Bayesian viewpoints and essentially represents a concept of sufficiency among models. We...

This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH...