References Aielli, G.P. (2013), Dynamic conditional correlations: On properties and estimation, Journal of Business and Economic Statistics, 31, 282-299. Andersen, T.G. and Bollerslev, T. (1997), Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance, 4, 115-158. Billio, M., and Caporin, M. (2010), Market linkages, variance spillovers and correlation stability: empirical evidences of financial market contagion, Computational Statistics and Data Analysis, 54-11, 2443-2458. Black, F. (1976), Studies of Stock Price Volatility Changes, Proceedings of the Business and Economics Section of the American Statistical Association, 177-181. Bollerslev, T. (1990), Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach, Review of Economic and Statistics 72, 498-505. Bordignon, S., Caporin, M., and Lisi, F. (2007), Generalised Long Memory GARCH models for intradaily volatility, Computational Statistics & Data Analysis, 51-12, 5900-5912. Bordignon, S., Caporin, M., and Lisi, F. (2009), Periodic Long Memory GARCH models, Econometric Reviews, 28, 60-82. Boudt, K, Croux, C., and Laurent, S. (2011), Robust estimation of intraweek periodicity in volatility and jump detection, Journal of Empirical Finance, 18, 353-367. Cappiello L., Engle, R.F. and Sheppard, K. (2006) Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4, 537-572. Chang, C.-L., Li, Y.-Y., and McAleer, M. (2015), Volatility spillovers between energy and agricultural markets: A critical appraisal of theory and practice, Tinbergen Institute Discussion Paper, TI 2015-077/III. Cont, R. (2001), Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance, 1, 223-236. Dacorogna, M.M., Gencay, R., Muller, A.U., Olsen, R.B., and Pictet, O.V. (2001), An Introduction to High Frequency Finance, Academic Press, San Diego. Engle, R.F. (2002), Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional hereoskedasticity models, Journal of Business and Economic Statistics, 20, 339-350. Gallo, G.M. (2001), Modeling the impact of overnight surprises on intra-daily volatility, Australian Economic Papers, 40(4), 567-580. Ling, S. and McAleer, M. (2003). Asymptotic theory for a vector ARMA–GARCH model. Econometric Theory, 19, 278-308. McAleer, M. (2014), Asymmetry and leverage in conditional volatility models, Econometrics 2(3), 145-150. McAleer, M., Chan, F., Hoti, S. and Lieberman, O. (2008), Generalized autoregressive conditional correlation, Econometric Theory, 24(6), 1554-1583. McAleer, M., Chan, F., and Marinova, D. (2007), An econometric analysis of asymmetric volatility: theory and application to patents, Journal of Econometrics 139, 259-284. McAleer, M. and Hafner, C. (2014), A one line derivation of EGARCH, Econometrics, 2(2), 92-97. McAleer, M., Hoti, S. and Chan, F. (2009), Structure and asymptotic theory for multivariate asymmetric conditional volatility, Econometric Reviews, 28, 422-440. Nelson, D.B. (1991), Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 59, 347-370.