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Multivariate GARCH models: a survey

  • Sébastien Laurent

    (CeReFim, Université de Namur and CORE, Université catholique de Louvain, Belgium)

  • Luc Bauwens

    (CORE and Department of Economics, Université catholique de Louvain, Belgium)

  • Jeroen V. K. Rombouts

    (CORE and Department of Economics, Université catholique de Louvain, Belgium)

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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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 21 (2006)
Issue (Month): 1 ()
Pages: 79-109

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Handle: RePEc:jae:japmet:v:21:y:2006:i:1:p:79-109
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