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Comment on "Modelling nonlinear comovements between time series"

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  • Mizrach, Bruce

Abstract

This paper comments on the multivariate GARCH modeling of federal funds and the 3-month Treasury bill rate by Kyrtsou and Vorlow.

Suggested Citation

  • Mizrach, Bruce, 2009. "Comment on "Modelling nonlinear comovements between time series"," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 212-215, March.
    • Handle: RePEc:eee:jmacro:v:31:y:2009:i:1:p:212-215
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    More about this item

    Keywords

    G0 C4 Nonlinearity Short-term interest rates;

    JEL classification:

    • G0 - Financial Economics - - General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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