Multivariate GARCH models: a survey

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model speciﬁcations, the inference methods, and the main areas of application of these models in ﬁnancial econometrics.

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Year of publication:	2003-04
Authors:	BAUWENS, Luc ; LAURENT, Sébastien ; ROMBOUTS, Jeroen
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	volatility \| multivariate GARCH models \| ﬁnancial econometrics

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Extent:	application/pdf
Series:	CORE Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2003031
Classification:	C10 - Econometric and Statistical Methods: General. General ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005008458