NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL

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MGARCH models: Trade-off between feasibility and flexibility (2018, methodology): “It is important to point out that Conrad and Karanasos (2010) claim that their results are also valid for models in which the correlations are time-varying which will be considered latter in this paper.”
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010 (2014, methodology): “The chosen econometric framework is a bivariate VAR-GARCH model, specifically a dynamic version of the unrestricted extended CCC-GARCH developed by Conrad and Karanasos (2010), where”
Estimating multivariate volatility models equation by equation (2016, background): “Conrad and Karanasos (2010) provided less restrictive assumptions that ensure the positive definiteness of Ht and also showed that there is a representation of the form (2.7) in which the Bjs are diagonal.”