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Multivariate GARCH models: a survey

Author

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  • 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)

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. Copyright © 2006 John Wiley & Sons, Ltd.

Suggested Citation

  • Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
  • Handle: RePEc:jae:japmet:v:21:y:2006:i:1:p:79-109
    DOI: 10.1002/jae.842
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