References Amemiya, T. (1985), Advanced Econometrics, Harvard University Press, Cambridge, MA, USA. Baba, Y., R.F. Engle, D. Kraft, and K.F. Kroner (1985), Multivariate simultaneous generalized ARCH, Unpublished manuscript, Department of Economics, University of California, San Diego, CA, USA. Bollerslev, T. (1986), Generalised autoregressive conditional heteroscedasticity, Journal of Econometrics, 31, 307-327. Chang, C.-L, M. McAleer and Y.-A. Wang (2018), Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices, Renewable and Sustainable Energy Reviews, 81, 1002-1018. Chang, C.-L., M. McAleer and G.D. Zuo (2017), Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA, Sustainability, 9(10:1789), 1-21. Dickey, D.A. and W.A. Fuller (1979), Distribution of the estimators for autoregressive time series with a unit root Journal of the American Statistical Association, 74, 427-431. Dickey, D.A. and W.A. Fuller (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072. Elliott, G., T.J. Rothenberg, and J.H. Stock (1996), Efficient tests for an autoregressive unit root, Econometrica, 64, 813-836. Engle, R.F. (1982), Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007. Engle, R.F. and K.F. Kroner (1995), Multivariate simultaneous generalized ARCH, Econometric Theory, 11(1), 122-150. Glosten, L.R., R. Jagannathan, and D.E. Runkle (1993), On the relation between the expected value and volatility of nominal excess return on stocks, Journal of Finance, 48(5), 1779-1801. Jeantheau, T. (1998), Strong consistency of estimators for multivariate ARCH models, Econometric Theory, 14, 70-86. Kwiatkowski, D., P.C.B. Phillips, P. Schmidt, and Y. Shin (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?, Journal of Econometrics 54, 159-178. Ling, S. and M. McAleer (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., F. Chan, S. Hoti and O. Lieberman (2008), Generalized autoregressive conditional correlation, Econometric Theory, 24(6), 1554-1583. McAleer, M. and C. Hafner (2014), A one line derivation of EGARCH, Econometrics, 2(2), 92-97. Nelson, D.B. (1990), ARCH models as diffusion approximations, Journal of Econometrics, 45(1-2), 7-38. Nelson, D.B. (1991), Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 59(2), 347-370. Said, S.E. and D.A. Dickey (1984), Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, 71, 599-607. Tsay, R. S. (1987), Conditional heteroscedastic time series models, Journal of the American Statistical Association, 82(398), 590-604.