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Multivariate GARCH models: a survey |
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| Authors: | Luc Bauwens Sbastien Laurent Jeroen V K Rombouts |
| Institution: | Luc Bauwens,Sébastien Laurent,Jeroen V. K. Rombouts |
| Abstract: | 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 © 2006 John Wiley & Sons, Ltd. |
| Keywords: | |