Multivariate ARCH-typc specifications provide a theoretically promising framework for analyses of correlation among financial instruments because they can model time-varying conditional covariance matrices. However, ...

In AR(1)-GARCH(1, 1) framework for daily returns, proposed and adopted by Bauwens and Lubrano (1997), Bauwens et al. (1999), Osiewalski and Pipień (2003), we considered two types of conditional distribution. In the first ...