@inbook{9658c7885cd2488b9b1f64146cb771d3,
title = "Multivariate GARCH models for large-scale applications: A survey",
abstract = "This chapter provides a survey of various multivariate GARCH specifications that model the temporal dependence in the second moment of multivariate return series processes. The survey is focused on feasible multivariate GARCH models for large-scale applications, as well as on recent contributions in outlier-robust MGARCH analysis and the use of high-frequency returns or the score for covariance modeling. We discuss their likelihood-based estimation and application to forecasting and simulation with software implementations in the R-programming language.",
keywords = "Comovement, Distribution, Time series, Volatility",
author = "Kris Boudt and Alexios Galanos and Scott Payseur and Eric Zivot",
year = "2019",
month = jan,
day = "1",
doi = "10.1016/bs.host.2019.01.001",
language = "English",
isbn = "9780444643117",
series = "Handbook of Statistics",
publisher = "Elsevier Science b.v., Amsterdam",
pages = "193--242",
editor = "Vinod, {Hrishikesh D.} and C.R. Rao",
booktitle = "Handbook of Statistics",
}