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Multivariate GARCH models: a survey

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  • BAUWENS, Luc
  • LAURENT, Sébastien
  • ROMBOUTS, Jeroen

Abstract

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics.

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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2003031.

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Date of creation: 00 Apr 2003
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Handle: RePEc:cor:louvco:2003031

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Keywords: volatility; multivariate GARCH models; financial econometrics;

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References

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