conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …-Maximum Likelihood Estimates (QMLE) of a full BEKK matrix, which is typically estimated in examining volatility spillover effects, has no … literature have used the DCC model to test for volatility spillovers. However, it is well known in the financial econometrics …

GARCH model featuring pre-whitened return series, which are then analysed using both BEKK and diagonal BEKK models with the …

multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact …

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … new DCC-MIDAS model, we construct stock-bond hedge portfolios and show that these portfolios outperform various benchmark …