The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed and its statistical properties are investigated. The model can be regarded as a generalization to a multivariate setting of the univariate BLGARCH model ...

The consistent ranking of multivariate volatility models by means of statistical loss function is a challenging research field, because it concerns the quality of the proxy chosen to replace the unobserved volatility, the ...