Elite Multivariate GARCH Model Resources

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The Econometric Modelling of Financial Time Series
Third edition
Terence C. Mills
Professor of Applied Statistics and Econometrics
Department of Economics
Loughborough University
Raphael N. Markellos
Senior Lecturer in Quantitative Finance
Department of Management Science and Technology
Athens University of Economics and Business

Chapter 8

8 Regression techniques for non-integrated financial time series 274
8.1 Regression models 274
8.2 ARCH-in-mean regression models 287
8.3 Misspecification testing 293
8.4 Robust estimation 304
8.5 The multivariate linear regression model 307
8.6 Vector autoregressions 309
8.7 Variance decompositions, innovation accounting and structural VARs 316
8.8 Vector ARMA models 319
8.9 Multivariate GARCH models 323

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关键词：Multivariate multivariat Resources resource sources University techniques

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