GO-GARCH: a multivariate generalized orthogonal GARCH model-Reference-Cited by-同舟云学术

GO-GARCH: a multivariate generalized orthogonal GARCH model

Published:2002 Issue:5 Volume:17 Page:549-564
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J. Appl. Econ.

Author:

van der Weide Roy

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Reference24 articles.

1. 1998. Volatility and correlation: Methods, models and applications. In Risk Management and Analysis: Measuring and Modelling Financial Risk. John Wiley: New York; 125-172.

2. Mastering Ris;Alexander,2001

3. 1996. Multivariate orthogonal factor GARCH. University of Sussex Discussion Papers in Mathematics.

4. Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

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