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 ...

In this paper we assess the evolution of employment and wage inequality in Europe and the US labour markets over the past two decades. We find that the salient trends in wage structures are more complicated than implied ...