We revisit the specification of GARCH processes with Johnson Su innovations examined in Choi and Nam (2008). This model, allowing for skewed and leptokurtic innovations, has many advantages over well known alternatives. We examine a simpler version of their specification which does not require...

In order to improve the dynamic assessment of financial market interdependencies, we develop a new Markov switching approach to multivariate volatility modelling. More specific, we take advantage of the flexible copula multivariate GARCH model of Lee and Long (2009), and allow state dependence...