Comment on "Modelling nonlinear comovements between time series"
AbstractThis paper comments on the multivariate GARCH modeling of federal funds and the 3-month Treasury bill rate by Kyrtsou and Vorlow.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Macroeconomics.
Volume (Year): 31 (2009)
Issue (Month): 1 (March)
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Web page: http://www.elsevier.com/locate/inca/622617
G0 C4 Nonlinearity Short-term interest rates;
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