Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/10256018808623883
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1. Modelling volatility by variance decomposition
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5. Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
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