Hafner, Christian M.; Linton, Oliver - In: Journal of Econometrics 159 (2010) 1, pp. 55-73
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a nonparametric long run component and a unit multivariate GARCH short run dynamic component. We suggest various kernel-based estimation procedures for the parametric and...