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1.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

1.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.

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