Core Discussion Paper 2003/31 Multivariate Garch Models: a Survey
نویسندگان
چکیده
This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and identifies likely directions of future research.
منابع مشابه
MULTIVARIATE GARCH MODELS : A SURVEY forthcoming in Journal of Applied Econometrics
This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and identifies likely directions of future research.
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