A survey of multivariate GARCH models

Taş, Mustafa Anıl2016-01-082016-01-082008http://hdl.handle.net/11693/14799Cataloged from PDF version of article.Includes bibliographical refences.This paper reviews the recent developments in the multivariate GARCH literature. Most common multivariate GARCH models and their properties are briefly presented.v, 22 leavesEnglishinfo:eu-repo/semantics/openAccessMultivariate GARCHVolatilityHB141 .T37 2008Econometric models.A survey of multivariate GARCH modelsThesis