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Positivity Conditions for a Bivariate Autoregressive Volatility Specification |
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| Authors: | Gourieroux C |
| Abstract: | We derive necessary and sufficient conditions for the positivedefiniteness of the predicted volatility matrix in a bivariateautoregressive volatility specification. These nonlinear inequalityrestrictions have strong implications in terms of causalitybetween volatilities and covolatilities. |
| Keywords: | GARCH model nonlinear causality stochastic volatility Wishart process |
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