We study dependence between components of multivariate (nice Feller) Markov processes: what conditions need to be … in the concept of pseudo-differential operator (PDO). We investigate connections between dependence, in the sense …

)ARCH models cannot capture this LM, long term dependence or risk persistence, because these models have finite lag lengths, while …

and flexible specification of the SF model, introducing dependence between the two error components and asymmetry …) the structure of dependence between the error components. This decomposition suggests that the “wrong skewness” anomaly is … displays wrong skewness, estimation of our model rejects the dependence hypothesis, but accepts the asymmetry of the random …