Multivariate GARCH models: A survey

被引：1097

作者：

Bauwens, L

Laurent, S

Rombouts, JVK

机构：

[1] Catholic Univ Louvain, CORE, B-1348 Louvain, Belgium

[2] Catholic Univ Louvain, Dept Econ, B-1348 Louvain, Belgium

[3] Univ Namur, CeReFin, Namur, Belgium

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2006年 / 21卷 / 01期

关键词：

D O I：

10.1002/jae.842

中图分类号：

F [经济];

学科分类号：

02 [经济学];

摘要：

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 (c) 2006 John Wiley & Sons, Ltd.

引用

页码：79 / 109

页数：31

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