Browsing Closed by Author "Anderson, TG; Davis, RA; Kreib, J-P; Mikosch, T"

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Browsing Closed by Author "Anderson, TG; Davis, RA; Kreib, J-P; Mikosch, T"

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  • Multivariate GARCH Models 
    Silvennoinen Annastiina; Terasvirta Timo (Springer, 2009)
    This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonpararnetric and semi parametric models. Existing specification and ...