Multivariate GARCH models
Annastiina Silvennoinen () and
Timo Teräsvirta ()
CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonparametric and semiparametric models. Existing specification and misspecification tests are discussed. Finally, there is an empirical example in which several multivariate GARCH models are fitted to the same data set and the results compared.
Keywords: Multivariate GARCH; Volatility (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 (search for similar items in EconPapers)
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Working Paper: Multivariate GARCH models (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-06
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