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Multivariate GARCH models : a survey

Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - In: Journal of applied econometrics 21 (2006) 1, pp. 79-109

Persistent link: https://www.econbiz.de/10003310013

Consistent ranking of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2009

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On the forecasting accuracy of multivariate GARCH models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2010

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On loss functions and ranking forecasting performances of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10009719647

Multivariate GARCH models : a survey

Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - 2003

Persistent link: https://www.econbiz.de/10001791482

On the forecasting accuracy of multivariate GARCH models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of applied econometrics 27 (2012) 6, pp. 934-955

Persistent link: https://www.econbiz.de/10010219744

On the forecasting accuracy of multivariate GARCH models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of applied econometrics 27 (2012) 6, pp. 934-956

Persistent link: https://www.econbiz.de/10010022054

Multivariate GARCH models: a survey

Laurent, Sébastien; Bauwens, Luc; Rombouts, Jeroen V. K. - In: Journal of Applied Econometrics 21 (2006) 1, pp. 79-109

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.

Persistent link: https://www.econbiz.de/10005823698

On the forecasting accuracy of multivariate GARCH models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of Applied Econometrics 27 (2012) 6, pp. 934-955

Persistent link: https://www.econbiz.de/10010625491