Vrontos, I. D.; Dellaportas, P.; Politis, D. N. - In: Econometrics Journal 6 (2003) 2, pp. 312-334
A new multivariate time series model with time varying conditional variances and covariances is presented and analysed. A complete analysis of the proposed model is presented consisting of parameter estimation, model selection and volatility prediction. Classical and Bayesian techniques are used...