Multivariate GARCH models

This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes semiparametric and nonparametric GARCH models. Existing specification and misspecification tests are discussed. Finally, there is an empirical example in which several multivariate GARCH models are fitted to the same data set and the results compared with each other.

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Year of publication:	2007-06-15
Authors:	Silvennoinen, Annastiina ; Teräsvirta, Timo
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	autoregressive conditional heteroskedasticity \| modelling volatility \| nonlinear GARCH \| nonparametric GARCH \| semiparametric GARCH

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Extent:	application/pdf
Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Language:	English
Notes:	This article has been written for Handbook of Financial Time Series, edited by T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch Published in Handbook of Financial Time Series, Andersen, Torben G., Davis, Richard A., Kreiss, Jens-Peter, Mikosch, Thomas (eds.), 2009, pages 201-229, Springer. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 669 27 pages
Classification:	C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004961388