多元GARCH模型研究述评被引量：23

Review of Multivariate GARCH Models

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摘要自Bollerslev提出多元GARCH模型的分析框架以来,已有不少学者相继提出了一些修正和扩展的多元GARCH模型,本文对几种有代表性的多元GARCH模型进行评述,并对这些模型的基本框架、适用条件、模型的优劣做了一个总结。 Since Bollerslev proposed the analytical framework of multivariate GARCH model, some researchers proposed some amends and changes for the orig- inal model. This paper reviews several representative models, and summarizes the basic framework, applicable conditions, advantages and disadvantages of them.

作者李文君尹康

机构地区湖北经济学院上海财经大学统计与管理学院

出处《数量经济技术经济研究》 CSSCI 北大核心 2009年第10期138-147,共10页 Journal of Quantitative & Technological Economics

关键词波动溢出多元GARCH 参数化 Volatility Spillover Multivariate GARCH Parametric

分类号 F224 [经济管理—国民经济]

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