theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical … regularity conditions, and associated asymptotic theory. Therefore, the derivation of a multivariate conditional volatility model … with exogenous variables (X) that has regularity conditions and asymptotic theory would seem to be a significant extension …

). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a …