Efficient estimation of a multivariate multiplicative volatility model

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Nonparametric regression for locally stationary time series (2012, background): “Linton & Hafner [19] provide estimation theory for a multivariate GARCH model with a time-varying unconditional variance.”
ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (2014, background): “…(2010), Bauwens, Hafner, and Pierret (2013), Chauvet, Senyuz, and Yoldas (2010), Chen, Choudhry, and Wu (2013), Dorion (2010), Golosnoy, Gribisch, and Liesenfeld (2012), Hafner and Linton (2010), Asgharian, Hou, and Javed (2013), Maheu and McCurdy (2007), and Rangel (2011), among others.”
Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations (2014, methodology): “Recently, Hafner and Linton (2010) proposed what they called a semiparametric generalization of the scalar multiplicative model of Engle and Rangel (2008).”
GARCH Models (2010, unknown): “These models were introduced by Engle and Rangel (2008), and their multivariate generalization is due to Hafner and Linton (2010).”
Volatility linkages between energy and agricultural commodity prices (2016, methodology): “Following Hafner and Linton (2010), the unconditional covariance matrix Σ(τ) can estimated e ciently by the nonparametric Nadaraya-Watson estimator:”