Multivariate GARCH models: a survey

B-Tier

Journal: Journal of Applied Econometrics

Year: 2006

Volume: 21

Issue: 1

Pages: 79-109

Authors (3)

Luc Bauwens (Université Catholique de Louva...) Sébastien Laurent (Aix-Marseille Université) Jeroen V. K. Rombouts (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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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.

Multivariate GARCH models: a survey

Authors (3)

Abstract

Technical Details