Multivariate GARCH Models

Silvennoinen, A; Terasvirta, T

Multivariate GARCH Models

Silvennoinen, A Terasvirta, T

Permalink

Publisher:: Springer
Publication Type:: Chapter
Citation:: Handbook of Financial Time Series, 2009, 1st, pp. 201 - 229
Issue Date:: 2009-01

Closed Access

	Filename	Description	Size
	2008004918OK.pdf		2.28 MB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Silvennoinen, A	en_US
dc.contributor.author	Terasvirta, T	en_US
dc.contributor.editor	Anderson, TG	en_US
dc.contributor.editor	Davis, RA	en_US
dc.contributor.editor	Kreib, JP	en_US
dc.contributor.editor	Mikosch, T	en_US
dc.date.issued	2009-01	en_US
dc.identifier.citation	Handbook of Financial Time Series, 2009, 1st, pp. 201 - 229	en_US
dc.identifier.isbn	978-3-540-71296-1	en_US
dc.identifier.uri	http://hdl.handle.net/10453/8026
dc.description.abstract	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.	en_US
dc.publisher	Springer	en_US
dc.relation.ispartof	Handbook of Financial Time Series	en_US
dc.relation.isbasedon	10.1007/978-3-540-71297-8_9	en_US
dc.title	Multivariate GARCH Models	en_US
dc.type	Chapter
utslib.location	Germany	en_US
utslib.for	150201 Finance	en_US
utslib.citation.edition	1st	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.edition	1st	en_US
pubs.place-of-publication	Germany	en_US

Abstract:

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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/8026