Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56218 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
SSE/EFI Working Paper Series in Economics and Finance No. 669
Verlag: 
Stockholm School of Economics, The Economic Research Institute (EFI), Stockholm
Zusammenfassung: 
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.
Schlagwörter: 
autoregressive conditional heteroskedasticity
modelling volatility
nonlinear GARCH
nonparametric GARCH
semiparametric GARCH
JEL: 
C32
C52
Dokumentart: 
Working Paper

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