Estimation of multivariate volatility models is usually carried out by quasi maximum likelihood (QMLE), for which consistency and asymptotic normality have been proven under quite general conditions. However, there may be a substantial efficiency loss of QMLE if the true innovation distribution...

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics