Turtle, H. J.; Wang, Kainan - In: Journal of Business & Economic Statistics 32 (2014) 2, pp. 217-236
We propose a new model for conditional covariances based on predetermined idiosyncratic shocks as well as macroeconomic and <italic>own</italic> information instruments. The specification ensures positive definiteness by construction, is unique within the class of linear functions for our covariance...