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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.

Suggested Citation

  • BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:2003031
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    Keywords

    volatility; multivariate GARCH models; financial econometrics;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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