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16-065/III - A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics


  • Authors
    Manabu Asai, Soka University, Japan; Michael McAleer, National Tsing Hua University Taiwan; Erasmus School of Economics Erasmus University Rotterdam, The Netherlands; Yokohama National University, Japan
  • Publication date
    August 29, 2016
  • Keywords
    Multivariate conditional volatility, Vector random coefficient autoregressive process, Asymmetry, Long memory, Exogenous variables, Dynamic conditional correlations, Regularity conditions, Asymptotic properties
  • JEL
    C22, C52, C58, G32