Journal
JOURNAL OF APPLIED ECONOMETRICS
Volume 21, Issue 1, Pages 79-109Publisher
WILEY
DOI: 10.1002/jae.842
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This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright (c) 2006 John Wiley & Sons, Ltd.
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