Multivariate GARCH Models: A Survey
CORE Discussion Paper No. 2003/31
39 Pages Posted: 6 Aug 2003
Date Written: April 18, 2003
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.
Keywords: Volatility, Multivariate GARCH models, Financial econometrics
JEL Classification: C10, G10
Suggested Citation: Suggested Citation