ARCH patterns in cointegrated systems
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Bibliographic InfoPaper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 110.
Date of creation: Mar 1995
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Web page: http://www.econ.upf.edu/
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- Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, Econometric Society, vol. 61(1), pages 167-86, January.
- Kim, Kiwhan & Schmidt, Peter, 1993. "Unit root tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 59(3), pages 287-300, October.
- Jumah, Adusei & Kunst, Robert M., 2001. "The Effects of Exchange-Rate Exposures on Equity Asset Markets," Economics Series 94, Institute for Advanced Studies.
- 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.
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