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Our data says that the document:

Manabu, Asai ; Massimiliano, Caporin ; Michael, McAleer ; Massimiliano, Caporin ; Manabu, Asai. (2015) Forecasting Value-at-Risk using block structure multivariate stochastic volatility models.
In: International Review of Economics & Finance. RePEc:eee:reveco:v:40:y:2015:i:c:p:40-50.

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cites:

Billio, M. ; Caporin, M. ; Gobbo, M. Flexible dynamic conditional correlation multivariate GARCH for asset allocation. 2006 Applied Financial Economics Letters. 2 123-130

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