Multivariate GARCH models: a survey

2,053 citationsJournal Article

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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.

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Statistical Methods and Inference

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Published in: RePEc: Research Papers in Economics

DOI: 10.1002/jae.842

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Multivariate GARCH models: a survey

Authors

Abstract

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Publication Details