Multivariate GARCH models: a survey

Luc Bauwens, Sébastien Laurent and Jeroen Rombouts

No 2003031, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: 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.

Keywords: volatility; multivariate GARCH models; financial econometrics (search for similar items in EconPapers)
JEL-codes: C10 G10 (search for similar items in EconPapers)
Date: 2003-04
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Citations: View citations in EconPapers (66)

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Related works:
Journal Article: Multivariate GARCH models: a survey (2006)
Journal Article: Multivariate GARCH models: a survey (2006)
Working Paper: Multivariate GARCH models: a survey (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2003031

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