Multivariate GARCH models

Publikation: Working paperForskning

  • Annastiina Silvennoinen, University of Technology Sydney, Australien
  • Timo Teräsvirta
  • Institut for Økonomi
This article contains a review of multivariate GARCH models. Most common GARCH
models are presented and their properties considered. This also includes nonparametric
and semiparametric models. Existing specification and misspecification tests are discussed.
Finally, there is an empirical example in which several multivariate GARCH models are
fitted to the same data set and the results compared.
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider25
StatusUdgivet - 2008

Se relationer på Aarhus Universitet Citationsformater

ID: 10183257