Abstract

  
 

References (121)



 
 

Citations (142)



 


 



Multivariate GARCH Models: A Survey


Luc Bauwens


Université catholique de Louvain

Sébastien Laurent


Maastricht University - Department of Quantitative Economics

J. V. K. Rombouts


HEC Montreal; Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE); Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE); Center for Interuniversity Research and Analysis on Organization (CIRANO)
April 18, 2003

CORE Discussion Paper No. 2003/31

Abstract:     
This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics.

Number of Pages in PDF File: 39

Keywords: Volatility, Multivariate GARCH models, Financial econometrics

JEL Classification: C10, G10

working papers series


Download This Paper

Date posted: August 6, 2003  

Suggested Citation

Bauwens, Luc, Laurent, Sébastien and Rombouts, J. V. K., Multivariate GARCH Models: A Survey (April 18, 2003). CORE Discussion Paper No. 2003/31. Available at SSRN: http://ssrn.com/abstract=411062 or http://dx.doi.org/10.2139/ssrn.411062

Contact Information

Luc Bauwens
Université catholique de Louvain ( email )
CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)
Sébastien Laurent (Contact Author)
Maastricht University - Department of Quantitative Economics ( email )
P.O. Box 616
Maastricht, 6200 MD
Netherlands
Jeroen Rombouts
HEC Montreal ( email )
3000, Chemin de la Côte-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) ( email )
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE) ( email )
Pavillon De Sève
Ste-Foy, Quebec G1K 7P4
Canada
Center for Interuniversity Research and Analysis on Organization (CIRANO) ( email )
2020 rue University, 25th floor
Montreal H3C 3J7, Quebec
Canada
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 4,496
Downloads: 1,783
Download Rank: 3,410
References:  121
Citations:  142
People who downloaded this paper also downloaded:
1. Forecasting Volatility
By Louis Ederington and Wei Guan

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo2 in 0.391 seconds