Multivariate GARCH models: a survey
综述了多元ARCH类模型的主要发展，回顾了模型设定和推断方法，并指出了未来可能的研究方向。
Abstract This paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.