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Multivariate GARCH models: a survey
Author(s) -
Bauwens Luc,
Laurent Sébastien,
Rombouts Jeroen V. K.
Publication year - 2006
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.842
Subject(s) - multivariate statistics , inference , econometrics , autoregressive conditional heteroskedasticity , computer science , multivariate analysis , economics , artificial intelligence , machine learning , volatility (finance)
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.
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