Suppose that a researcher is interested in modelling the correlation between the returns of the ASX and

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Suppose that a researcher is interested in modelling the correlation between the returns of the ASX and LSE markets.

(a) Write down a simple diagonal VECH model for this problem. Discuss the values for the coefficient estimates that you would expect.

(b)What other approaches to correlation modelling are available? Explain them in detail.

alternatives that you propose in part (b)?

Posted Date: May 19, 2024 10:00 PM

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Suppose that a researcher is interested in modelling the correlation between the returns of the ASX and

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