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Multivariate GARCH models: a survey

Listed author(s):
  • BAUWENS, Luc
  • LAURENT, Sébastien
  • ROMBOUTS, Jeroen VK

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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File URL: http://dx.doi.org/10.1002/jae.842
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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers RP with number 1847.

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Handle: RePEc:cor:louvrp:1847
Note: In : Journal of Applied Econometrics, 21, 79-109, 2006
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