## MULTIVARIATE GARCH MODELS: A SURVEY

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

Citations: | 140 - 7 self |

### BibTeX

@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.