Multivariate GARCH models: a survey

Luc Bauwens, Sébastien Laurent and Jeroen V. K. 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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Citations: View citations in EconPapers (234)

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https://doi.org/10.1002/jae.842

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Journal Article: Multivariate GARCH models: a survey (2006)
Working Paper: Multivariate GARCH models: a survey (2006)
Working Paper: Multivariate GARCH models: a survey (2003)
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