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Multivariate GARCH models: a survey

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  • BAUWENS, Luc
  • LAURENT, Sébastien
  • ROMBOUTS, Jeroen VK

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.
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Suggested Citation

  • 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).
    • Handle: RePEc:cor:louvrp:1847
    DOI: 10.1002/jae.842
    Note: In : Journal of Applied Econometrics, 21, 79-109, 2006
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