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Multivariate GARCH models: a survey
Home
Publications
Multivariate GARCH models: a survey
Multivariate GARCH models: a survey
LB
Luc Bauwens
Luc Bauwens
SL
Sébastien Laurent
Sébastien Laurent
JR
Jeroen Vk Rombouts
Jeroen Vk Rombouts
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1 January 2006
preprint
Published in
RePEc
https://ideas.repec.org/p/cor/louvrp/1847.html
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. (This abstract was borrowed from another version of this item.)
Keywords
COPYRIGHT
SURVEYS
INFERENCE
JOHN
LTD
GARCH MODELS
SONS
ITEM
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Version 1, 2006-01-01, preprints
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