Fourth Moment Structure of Multivariate GARCH Models

Citations

Cited by:

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    • BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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25. Todd Prono, 2008. "GARCH-based identification and estimation of triangular systems," Supervisory Research and Analysis Working Papers QAU08-4, Federal Reserve Bank of Boston.
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