Multivariate GARCH Models
- Publication Type:
- Handbook of Financial Time Series, 2009, 1st, pp. 201 - 229
- Issue Date:
This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonpararnetric and semi parametric models. Existing specification and misspecification tests are discussed. Finally, there is an empirical example in which several multivariate CAReH models are fitted to the same data set and the results compared.
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