Multivariate GARCH models

Silvennoinen, Annastiina & Teräsvirta, Timo (2009) Multivariate GARCH models. In Andersen, T.G., Davis, R.A., Kreiß, J-P., & Mikosch, Th. (Eds.) Handbook of Financial Time Series. Springer-Verlag, Germany, Berlin, pp. 201-232.

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ID Code: 32315
Item Type: Book Chapter
Additional URLs:
Keywords: Time Series Analysis, Multivariate GARCH models, Conditional variance, Conditional correlations
ISBN: 9783540712961
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Econometric and Statistical Methods (140302)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Time-Series Analysis (140305)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2009 Springer
Deposited On: 23 May 2010 22:02
Last Modified: 10 Jan 2016 15:09

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