MULTIVARIATE GARCH MODELS: A SURVEY

MULTIVARIATE GARCH MODELS: A SURVEY

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by Luc Bauwens , Sébastien Laurent , Jeroen V. K. Rombouts

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@MISC{Bauwens_multivariategarch,
    author = {Luc Bauwens and Sébastien Laurent and Jeroen V. K. Rombouts},
    title = { MULTIVARIATE GARCH MODELS: A SURVEY},
    year = {}
}

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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.

Citations

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