Multivariate GARCH Modeling

doi:10.1007/978-0-387-32348-0_13

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Multivariate GARCH Modeling

Year: 2007 Pages: 481-518

DOI: 10.1007/978-0-387-32348-0_13

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Keywords:

Autoregressive conditional heteroskedasticity Heteroscedasticity Autoregressive model Univariate Multivariate statistics Series (stratigraphy) Autocorrelation Econometrics Time series Vector autoregression Moment (physics) Mathematics Computer science Statistics Volatility (finance)

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Hydrology and Drought Analysis

Physical Sciences → Environmental Science → Global and Planetary Change

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Multivariate GARCH Modeling

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