Multivariate GARCH models: a survey
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Open Access
- 1 January 2006
- journal article
- research article
- Published by Wiley in Journal of Applied Econometrics
- Vol. 21 (1) , 79-109
- https://doi.org/10.1002/jae.842
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.Keywords
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