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. Vinodand C.R. Rao (ed), Elsevier, September 2019.
Status of Research
Completed/published
Related People
Eric Zivot
Research Type
Publications
Articles
Related Fields
Econometrics
Financial Economics
Time Series
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