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ARCH Patterns in Cointegrated Systems

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Author Info
Marc Sáez
Robert M. Kunst

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File URL: http://www.econ.upf.edu/docs/papers/downloads/110.pdf
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Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 110.

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Date of creation: Mar 1995
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Handle: RePEc:upf:upfgen:110

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Web page: http://www.econ.upf.edu/

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Kleibergen, F & Van Dijk, H K, 1993. "Non-stationarity in GARCH Models: A Bayesian Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S41-61, Suppl. De. [Downloadable!] (restricted)
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  2. Anil K. Bera & Sangkyu Lee & Matthew L. Higgins, 1990. "Interaction Between Autocorrelation and Conditional Heteroskedasticity: A Random Coefficient Approach," University of California at San Diego, Economics Working Paper Series 90-25, Department of Economics, UC San Diego.
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  1. Jumah, Adusei & Kunst, Robert M., 1999. "The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa," Economics Series 73, Institute for Advanced Studies. [Downloadable!]
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This page was last updated on 2009-11-27.

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