Multivariate GARCH Models: A Survey
Copyright policy ) BAUWENS, Luc; LAURENT, Sébastien; ROMBOUTS, Jeroen;
Multivariate GARCH Models: A Survey
AbstractThis 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.
Belgium
volatility, multivariate GARCH models, financial econometrics, jel: jel:C10, jel: jel:G10
volatility, multivariate GARCH models, financial econometrics, jel: jel:C10, jel: jel:G10
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selected citations
Citations provided by BIP!
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
Citations provided by BIP!popularityPopularity provided by BIP!
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
Popularity provided by BIP! 1K
Top 0.1%
Top 0.1%
Top 10%
bronze
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