Multivariate GARCH models: a survey

Preprint
Publisher Website
Google Scholar
  • 1 January 2006
    • preprint
      • Published in RePEc
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. (This abstract was borrowed from another version of this item.)

This publication has 0 references indexed in Scilit: