Multivariate GARCH models: a survey

Multivariate GARCH models: a survey

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.

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Veröffentlicht in:Journal of applied econometrics (Chichester, England) England), 2006-01, Vol.21 (1), p.79-109
Hauptverfasser: Bauwens, Luc, Laurent, Sébastien, Rombouts, Jeroen V. K.
Format: Artikel
Sprache:eng
Schlagworte:
Chaos theory
Consistent estimators
Covariance matrices
Econometric models
Econometrics
Economic models
Estimators
Forecasting models
GARCH models
Matrices
Modeling
Multivariate analysis
Parametric models
Review articles
Statistical analysis
Statistical discrepancies
Statistical variance
Stochastic models
Studies
Time series
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Beschreibung
Zusammenfassung: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.
ISSN:0883-7252
1099-1255
DOI:10.1002/jae.842