() and Timo Teräsvirta
Annastiina Silvennoinen: School of Finance and Economics, University of Technology, Sydney, Postal: Box 123, Broadway NSW 2007, Australia
Timo Teräsvirta: CREATES, University of Aarhus and Department of Economic Statistics, Stockholm School of Economics, Postal: Universitetsparken, Building 1322, DK-8000 Aarhus C, Denmark
Abstract: This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes semiparametric and nonparametric GARCH 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 with each other.
27 pages, First version: June 15, 2007. Revised: January 18, 2008.
Note: This article has been written for Handbook of Financial Time Series, edited by T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch
Full text files
hastef0669.pdf Full text
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2018-01-27 00:01:35.