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We propose two estimation algorithms by using extended Kalman filters, derived from suitable state space representations of the considered model. Numerical examples make evident the effectiveness of the proposed nonlinear estimations. Moreover, real-data applications on some financial returns show empirical evidence that the high volatility persistence and correlation changes of such returns can be well explained by estimating multivariate Markov switching BEKK parameters via the two efficient proposed algorithms. Finally, such results are compared to those obtained using Markov switching CCC and DCC models from Billio and Caporin (2005) to analyze financial contagion in the stock market and value-at-risk forecasts.<\/jats:p>","DOI":"10.1007\/s11222-026-10897-7","type":"journal-article","created":{"date-parts":[[2026,6,2]],"date-time":"2026-06-02T07:20:09Z","timestamp":1780384809000},"update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Multivariate Markov switching BEKK models: filtering, estimation and data analysis"],"prefix":"10.1007","volume":"36","author":[{"given":"Maddalena","family":"Cavicchioli","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jie","family":"Cheng","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2026,6,1]]},"reference":[{"issue":"3","key":"10897_CR1","doi-asserted-by":"publisher","first-page":"485","DOI":"10.1017\/S0266466607070211","volume":"23","author":"A Abramson","year":"2007","unstructured":"Abramson, A., Cohen, I.: On the stationarity of Markov-switching GARCH processes. 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