Multivariate GARCH Models

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

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Year of publication:	[2008]
Authors:	Silvennoinen, Annastiina
Other Persons:	Terasvirta, Timo (contributor)
Publisher:	[2008]: [S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Multivariate Analyse \| Multivariate analysis \| Schätztheorie \| Estimation theory \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (27 p)
Series:	CREATES Research Paper 2008-6
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 28, 2008 erstellt
Other identifiers:	10.2139/ssrn.1148139 [DOI]
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012723997