Multivariate GARCH models: a survey

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.

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Year of publication:	2006
Authors:	Laurent, Sébastien ; Bauwens, Luc ; Rombouts, Jeroen V. K.
Published in:	Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 21.2006, 1, p. 79-109
Publisher:	John Wiley & Sons, Ltd.

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005823698