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Veiga, B. and McAleer, M. (2004) Multivariate Volatility and Spillover Effects in Financial Markets.
https://scholarsarchive.byu.edu/iemssconference/2004/all/26/

has been cited by the following article:

• TITLE: A Co-Integration Analysis of the Interdependencies between Crude Oil and Distillate Fuel Prices

  AUTHORS: Jane Aduda, Patrick Weke, Philip Ngare

  KEYWORDS: Co-Integration, Futures and Spot Prices, Granger-Causality, ECM, VECM, Volatility Spill-Over, Johansen’s Test, Engle-Granger Test

  JOURNAL NAME: Journal of Mathematical Finance, Vol.8 No.2, May 31, 2018

  ABSTRACT: The co-evolution and co-movement of financial time series are of utmost importance in contemporary finance, especially when considering the joint behaviour of asset price realizations. The ability to model interdependencies and volatility spill-over effects introduces interesting dimensions in finance. This paper explores co-integrating relationships between crude oil and distillate fuel prices. Existence of multivariate co-integrating relations and bidirectional Granger-Causality is established among the series. It is also established that even after fitting a full VECM, the residuals are not necessarily multivariate normal suggesting the noise could as well be multivariate GARCH.