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Multivariate GARCH models: a survey

✍ Scribed by Luc Bauwens; Sébastien Laurent; Jeroen V. K. Rombouts

Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
246 KB
Volume
21
Category
Article
ISSN
0883-7252

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✦ Synopsis

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.

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