We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...

This paper investigates output convergence for the G7 countries using multivariate time series techniques. We consider both the null hypotheses of no convergence and convergence. It is shown that inferences on output convergence depend on which one of the two null hypotheses is considered....

This paper presents evidence of linkages across equity markets in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. We apply a multivariate asymmetric EGARCH model. Empirical results indicate significant...