Multivariate GARCH models: a survey

Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen

doi:10.1002/jae.842

Multivariate GARCH models: a survey

Bauwens, Luc

;

Laurent, Sébastien

;

Rombouts, Jeroen

(2006) Journal of Applied Econometrics — Vol. 21, n° 1, p. 79-109 (2006)

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Authors

Bauwens, LucUCLouvain
Author
Laurent, SébastienUCLouvain
Author
Rombouts, JeroenUCLouvain
Author

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.

Affiliations

UCLouvainEUEN/CORE - Center for operations research and econometrics
UCLouvainEUEN/CORE - Center for operations research and econometrics
UCLouvainEUEN/CORE - Center for operations research and econometrics

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Bauwens, L., Laurent, S., & Rombouts, J. (2006). Multivariate GARCH models: a survey. Journal of Applied Econometrics, 21(1), 79-109. https://doi.org/10.1002/jae.842 (Original work published 2006)