Multivariate GARCH Models: A Survey
Multivariate GARCH Models: A Survey
L. Bauwens,S. Laurent,J. Rombouts
2003 · DOI: 10.2139/ssrn.411062
2,138 Citations
Abstract
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.