This paper discusses the effects of temporal aggregation on causality and forecasting in multivariate GARCH processes. It is shown that spurious instantaneous causality in variance will only appear in ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 70, No. 4 (Sep., 2008), pp. 679-702 (24 pages) We propose to model multivariate volatility processes on the basis of ...

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...