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Engle, R.F., V.K. Ng and K.F. Kroner (1990) Asset pricing with a factor-ARCH covariance structure: Empirical estimates for treasury bills. Journal of Econometrics 45, 213237. Engle, R.F. and K.F. Kroner (1995) Multivariate simultaneous generalized ARCH. Econometric theory 11, 122150. Engle, R.F. and Sheppar, K. (2001) Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. National Bureau of Economic Research. Engle, R.F. (2002) Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 20, 339-350. Engle, R. (2009) Anticipating correlations: a new paradigm for risk management. Princeton University Press. Francq, C. and J-M. Zakoïan (1998) Estimating linear representations of nonlinear processes.Journal of Statistical Planning and Inference 68, 145165. Francq, C. and J-M. Zakoïan (2000) Covariance matrix estimation for estimators of mixing weak ARMA models.Journal of Statistical Planning and Inference 83, 369 394. Francq, C. and J-M. Zakoïan (2010) GARCH Models: Structure, Statistical Inference and Financial Applications. John Wiley. Francq, C. and Thieu, L.Q. (2015) Qml inference for volatility models with covariates. University Library of Munich, Germany, No. 63198. Francq, C. and G. Sucarrat (2016) Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns. Journal of the Royal Statistical Society: Series B 78, 613635, http://onlinelibrary.wiley.com/doi/10.1111/ rssb.12126/epdf 27
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Page 1 and 2: MPRA Munich Personal RePEc Archive
Page 3 and 4: matrix. Recent developments in the
Page 5 and 6: denoted by tr(A), the determinant i
Page 7 and 8: To ensure the positivity of the vol
Page 9 and 10: ⎛ ⎞ ⎛ ⎞ where Ω = ⎝ ω 1
Page 11 and 12: where ⎛ Γ = ⎜ ⎝ ⎞ −J −
Page 13 and 14: Table 1: Sampling distribution of t
Page 15 and 16: Figure 3: Kernel density estimator
Page 17 and 18: Table 2: Sampling distribution of t
Page 19 and 20: The proofs of i), iii) and i) are v
Page 21 and 22: For all δ > 0, there exists V(θ (
Page 23 and 24: By the similar arguments used to sh
Page 25 and 26: Under Assumption A11 and using the
Page 27: where Ψ is a d 1 ×d 2 matrix, d 1

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