Inference for some multivariate ARCH and
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I. D. Vrontos; P. Dellaportas; D. N. Politis
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Article
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2003
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John Wiley and Sons
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English
β 204 KB
## Abstract Multivariate timeβvarying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have attracted a lot of practical interest. Bayesian and classical te