Multivariate GARCH models for large-scale applications: A survey

Boudt, K., Galanos, A., Payseur, S., and Zivot, E. (2019) "Multivariate GARCH models for large-scale applications: A survey” in Handbook of Statistics 41: Conceptual Econometrics Using R, H. Vinod
and C.R. Rao (ed), Elsevier, September 2019.