McAleer, Michael; Caporin, Massimiliano - Institute of Economic Research, Kyoto University - 2011
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an empirical comparison of a set of models, namely BEKK,...
