A flexible method is introduced to model the structure of a covariance matrix C and study the dependence of the covariances on explanatory variables by observing that for any real symmetric matrix A, ...

Luc Bauwens, Pierre Giot, The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks, Annales d'Économie et de Statistique, No. 60, Microstructure des marchés ...