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 |
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| container_end_page | 109 |
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| container_issue | 1 |
| container_start_page | 79 |
| container_title | Journal of applied econometrics (Chichester, England) |
| container_volume | 21 |
| creator | Bauwens, Luc Laurent, Sébastien Rombouts, Jeroen V. K. |
| description | 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. |
| doi_str_mv | 10.1002/jae.842 |
| format | Article |
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| ispartof | Journal of applied econometrics (Chichester, England), 2006-01, Vol.21 (1), p.79-109 |
| issn | 0883-7252 1099-1255 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38215818 |
| source | Jstor Complete Legacy; Wiley Online Library All Journals |
| subjects | 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 |
| title | Multivariate GARCH models: a survey |
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