Browsing Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics by Subject "Multivariate models"

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    • Article  

      Inference for Some Multivariate ARCH and GARCH Models 

      Vrontos, Ioannis D.; Dellaportas, Petros; Politis, Dimitris Nicolas (2003)
      Multivariate time-varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have ...