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Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns

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Author Info
Christodoulakis, George A.
Satchell, Stephen E.

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File URL: http://www.sciencedirect.com/science/article/B6VCT-44VG413-4/2/20fee1181b72fa32ebbdb5677b80db81
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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 139 (2002)
Issue (Month): 2 (June)
Pages: 351-370
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Handle: RePEc:eee:ejores:v:139:y:2002:i:2:p:351-370

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  1. Ignacio Mauleón, 2006. "Modelling multivariate moments in European Stock Markets," European Journal of Finance, Taylor and Francis Journals, vol. 12(3), pages 241-263, April. [Downloadable!] (restricted)
  2. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
  3. Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics. [Downloadable!]
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This page was last updated on 2009-12-3.

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