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 …

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

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 …

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

from diagonal BEKK in small systems; and DCC may be a useful filter or a diagnostic check, but it is not a model. … Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the …

from diagonal BEKK in small systems; and DCC may be a useful filter or a diagnostic check, but it is not a model. … Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the …

from diagonal BEKK in small systems; and DCC may be a useful filter or a diagnostic check, but it is not a model. … Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the …