This paper develops a generalized autoregressive conditional correlation (GARCC) model
when the standardized residuals follow a random coefficient vector autoregressive process …

Multivariate GARCH (MGARCH) models need to be restricted so that their estimation is
feasible in large systems and so that the covariance stationarity and positive definiteness of …

This paper considers a formulation of the extended constant or time-varying conditional
correlation GARCH model that allows for volatility feedback of either the positive or negative …

The study has two aims. The first aim is to propose a family of nonlinear GARCH models that
incorporate fractional integration and asymmetric power properties to MS‐GARCH …

This dissertation presents a theoretical and empirical study of exchange rate determination
in emerging markets in the context of the recent process of currency internationalisation …

This study examines the dynamic dependence structure via return and volatility spillovers
between BRIC (Brazil, Russia, India, and China) and global markets (USA, Europe, and …

This paper studies the price transmission and volatility spillover effects in the major
wholesale onion markets in India. It attempts to determine the extent to which price shocks …

Purpose The purpose of this paper is to understand and compare the extent and nature of
the impact of foreign portfolio investment (FPI) on the stock market volatility, particularly in …

The question of which multivariate generalized autoregressive conditionally heteroskedastic
(GARCH) models in the vec form are representable in the BEKK form is addressed. Using …

A time series consists of observations or measurements ordered in time. Thereby the
information is contained not only in the observed values, but also in their ordering in time …