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