This paper investigates the asymptotic theory for a factor GARCH model. Sufficient conditions for strict stationarity, existence of certain moments, geometric ergodicity and - mixing with exponential decay rates are established. These conditions allow for volatility spill-over and integrated...

In the empirical analysis of financial time series, multivariate GARCH models have been used in various forms.In most cases it is not well understood how the use of a restricted model has to be paid with loss of valuable information. We investigate the structural implications of two alternative...

The GARCH and stochastic volatility (SV) models are two competing, well-known and often used models to explain the volatility of financial series. In this paper, we consider a closed form estimator for a stochastic volatility model and derive its asymptotic properties. We confirm our...