Multivariate GARCH models: a survey

Preprint
Publisher Website
Google Scholar
  • 1 January 2003
    • preprint
      • Published in RePEc
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.

This publication has 0 references indexed in Scilit: