Herwartz, H.

model matrix multivariate estimate garch statistic causality process power sample parameter testing volatility variance covariance distribution covariance matrix assumption vector heteroskedasticity hypothesis bootstrap order wald test price level condition result ccf test error series size estimates procedure noncausality property proposition innovation derivative size distortions alternative wald statistic approach section power estimates proof multivariate garch models multivariate volatility models engle likelihood matrice restriction table estimation granger test statistic bekk model ltkepohl herwartz theory size properties theorem inference dynamic journal gaussian .000 comte hafner autoregressive 1/2 respect dimension testing h 0 lieberman multivariate garch processes significance test procedures bekk order crude oil function