Multivariate GARCH models: a survey

Luc Bauwens · Sébastien Laurent · Jeroen V.K. Rombouts

2,092 citations0/0 files storedJournal of Applied Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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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.

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1977Book Review: Time Series Analysis: Forecasting and Control 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1999An Introduction to Copulas 2002Dynamic Conditional Correlation 1971Time Series Analysis Forecasting and Control.

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2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR

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