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Multivariate GARCH models: a survey

Sébastien Laurent (), Luc Bauwens () and Jeroen Rombouts ()

Journal of Applied Econometrics, 2006, vol. 21, issue 1, 79-109

Abstract: 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.

Date: 2006
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Working Paper: Multivariate GARCH models: a survey (2006) Downloads
Working Paper: Multivariate GARCH models: a survey (2003) Downloads
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