Massimiliano Caporin, Michael McAleer. Robust ranking of multivariate GARCH models by problem dimension. Computational Statistics & Data Analysis, 76:172-185, 2014. [doi]
@article{CaporinM14,
title = {Robust ranking of multivariate GARCH models by problem dimension},
author = {Massimiliano Caporin and Michael McAleer},
year = {2014},
doi = {10.1016/j.csda.2012.05.012},
url = {http://dx.doi.org/10.1016/j.csda.2012.05.012},
researchr = {https://researchr.org/publication/CaporinM14},
cites = {0},
citedby = {0},
journal = {Computational Statistics & Data Analysis},
volume = {76},
pages = {172-185},
}