Hafner, C.M.; Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2005
: Multivariate GARCH, dynamic conditional correlation, kernel
regression, minimum variance portfolio, tracking error minimization … (1986). Early-stage multivariate GARCH models, including the VEC-model of
Bollerslev, Engle and Wooldridge (1988) and the … of asset returns. These models are a speci c sub-group within
the general class of multivariate GARCH models. We refer to …