A survey of multivariate GARCH models

Files

0003677.pdf (137.73 KB)

Date

2008

Authors

Editor(s)

Advisor

Yiğit, Taner

Supervisor

Co-Advisor

Co-Supervisor

Instructor

BUIR Usage Stats
6
views
38
downloads

  • Share

Series

Abstract

This paper reviews the recent developments in the multivariate GARCH literature. Most common multivariate GARCH models and their properties are briefly presented.

Source Title

Publisher

Course

Other identifiers

Book Title

Keywords

Multivariate GARCH, Volatility

Degree Discipline

Economics

Degree Level

Master's

Degree Name

MA (Master of Arts)

Citation

Permalink

http://hdl.handle.net/11693/14799

Published Version (Please cite this version)

Collections

Graduate School of Economics and Social Sciences

Language

English

Type

Thesis