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Keywords: Multivariate GARCH
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Journal Articles
Journal:
Journal of Economic Studies
Journal of Economic Studies 1–24.
Published: 25 November 2025
... et al. (2017) , multivariate GARCH models are a generalization of univariate volatility models that allow for the simultaneous estimation of the conditional variance of multiple time series variables and their cross-effects. The specialized literature has proposed variants of the multivariate...
