Laurent, Sébastien; Bauwens, Luc; Rombouts, Jeroen V. K. - In: Journal of Applied Econometrics 21 (2006) 1, pp. 79-109
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.
