Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their …Multivariate GARCH models
To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds.
Handbook of … Financial Time Series. New York: Springer.
Annastiina Silvennoinen∗
School of Finance and Economics, University of Technology …