Department of Economics and Business Economics

Timo Teräsvirta

Multivariate GARCH models

Research output: Working paperResearch

Standard

Multivariate GARCH models. / Silvennoinen, Annastiina; Teräsvirta, Timo.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

Research output: Working paperResearch

Harvard

Silvennoinen, A & Teräsvirta, T 2008 'Multivariate GARCH models' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Silvennoinen, A., & Teräsvirta, T. (2008). Multivariate GARCH models. Aarhus: Institut for Økonomi, Aarhus Universitet.

CBE

Silvennoinen A, Teräsvirta T. 2008. Multivariate GARCH models. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Silvennoinen, Annastiina and Timo Teräsvirta Multivariate GARCH models. Aarhus: Institut for Økonomi, Aarhus Universitet. 2008., 25 p.

Vancouver

Silvennoinen A, Teräsvirta T. Multivariate GARCH models. Aarhus: Institut for Økonomi, Aarhus Universitet. 2008.

Author

Silvennoinen, Annastiina ; Teräsvirta, Timo. / Multivariate GARCH models. Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

Bibtex

@techreport{e8ac8c50cd8c11dcabe4000ea68e967b,
title = "Multivariate GARCH models",
abstract = "This article contains a review of multivariate GARCH models. Most common GARCHmodels are presented and their properties considered. This also includes nonparametricand semiparametric models. Existing specification and misspecification tests are discussed.Finally, there is an empirical example in which several multivariate GARCH models arefitted to the same data set and the results compared.",
keywords = "Multivariate GARCH; Volatility",
author = "Annastiina Silvennoinen and Timo Ter{\"a}svirta",
year = "2008",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Multivariate GARCH models

AU - Silvennoinen, Annastiina

AU - Teräsvirta, Timo

PY - 2008

Y1 - 2008

N2 - This article contains a review of multivariate GARCH models. Most common GARCHmodels are presented and their properties considered. This also includes nonparametricand semiparametric models. Existing specification and misspecification tests are discussed.Finally, there is an empirical example in which several multivariate GARCH models arefitted to the same data set and the results compared.

AB - This article contains a review of multivariate GARCH models. Most common GARCHmodels are presented and their properties considered. This also includes nonparametricand semiparametric models. Existing specification and misspecification tests are discussed.Finally, there is an empirical example in which several multivariate GARCH models arefitted to the same data set and the results compared.

KW - Multivariate GARCH; Volatility

M3 - Working paper

BT - Multivariate GARCH models

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -