I have looked at Econometrics books such as Brooks time series Econometrics but i'm looking for books and articles that specialize in GARCH models.
Jamela Hoveni Mam,
Title of Book " Introductory Econometrics for Finance " By CHRIS BROOKS, 3rd Edition, Chapter 9, 415-484 page.
I hope this information will be worthwhile for you.
Thanks and Regards
Check for
Multivariate Garch Models: A Survey
By Bauwens, Laurent and Rombouts, 2006. J. Appl. Econ. 21: 79-109.
Mohammad Irfan thank you so much, but is introductory Econometrics for Finance " By CHRIS BROOKS not too elementary? I'm looking for advance treatment.
Ette Etuk Thank you so much will check that reference
You may try Enders which has an entry on Multi-variate GARCH along with web appendices and also try Doan's RATS handbook on ARCH ...
https://faculty.washington.edu/ezivot/econ589/ch18-garch.pdf Eric Zivot has good chapters on GARCH also,
Robert H. Shumway David S. Stoffer time series analysis and its applications
Thanks @Cemal Arican
Thanks @Narain Narain
Hello,
you can try
https://spu.fem.uniag.sk/cvicenia/ksov/obtulovic/Manaž.%20štatistika%20a%20ekonometria/EconometricsGREENE.pdf
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