References


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Caporin, M. and M. McAleer (2009a), Do we really need both BEKK and DCC? A tale of two covariance models, Department of Economics, University of Padova (Available at SSRN: http://ssrn.com/abstract=1338190). 

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Li, W.K., S. Ling and M. McAleer (2002), Recent theoretical results for time series models with GARCH errors, Journal of Economic Surveys, 16, 245-269. Reprinted in M. McAleer and L. Oxley (eds.), Contributions to Financial Econometrics: Theoretical and Practical Issues, Blackwell, Oxford, 2002, pp. 9-33. 

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