Arbeitspapier
Multivariate GARCH models
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 669
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Subject
-
autoregressive conditional heteroskedasticity
modelling volatility
nonlinear GARCH
nonparametric GARCH
semiparametric GARCH
Mathematik
ARCH-Modell
- Event
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Geistige Schöpfung
- (who)
-
Silvennoinen, Annastiina
Teräsvirta, Timo
- Event
-
Veröffentlichung
- (who)
-
Stockholm School of Economics, The Economic Research Institute (EFI)
- (where)
-
Stockholm
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Silvennoinen, Annastiina
- Teräsvirta, Timo
- Stockholm School of Economics, The Economic Research Institute (EFI)
Time of origin
- 2007
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Multivariate GARCH for a large number of stocks
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Asymmetric multivariate normal mixture GARCH
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Networks in risk spillovers: A multivariate GARCH perspective
Multivariate GARCH for a large number of stocks
Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
Model and distribution uncertainty in Multivariate GARCH estimation: a Monte Carlo analysis
Evaluating GARCH Models