Skip to main content
Book Chapter

Multivariate GARCH Models

  • Silvennoinen A
  • Teräsvirta T
Springer Berlin Heidelberg, (2009), 201-229
DOI: 10.1007/978-3-540-71297-8_9
N/ACitations
Citations of this article
332Readers
Mendeley users who have this article in their library.
Get full text

Abstract

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.

Cite

CITATION STYLE

APA

Silvennoinen, A., & Teräsvirta, T. (2009). Multivariate GARCH Models. In Handbook of Financial Time Series (pp. 201–229). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-71297-8_9

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free