Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China-Reference-Cited by-同舟云学术

Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China

Published:1999-06 Issue:4-6 Volume:48 Page:503-509
ISSN:0378-4754
Container-title:Mathematics and Computers in Simulation
language:en
Short-container-title:Mathematics and Computers in Simulation

Author:

Tsui Albert K.,Yu Qiao

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference9 articles.

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3. Modelling the coherence in short-term nominal exchange rates: A multivariate generalized ARCH approach;Bollerslev;Review of Economics and Statistics,1990

4. A.K. Bera, S.W. Kim, Testing constancy of conditional correlation in bivariate GARCH model, Working paper, Department of Economics, University of Illinois, 1996

5. Autoregressive conditional heteroskedasticity with estimates of variance of United Kingdom Inflation;Engle;Econometrica,1982

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