A structural GARCH model: An application on South African data
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- Rigobon, Roberto, 2002.
"The curse of non-investment grade countries,"
Journal of Development Economics,
Elsevier, vol. 69(2), pages 423-449, December.
- Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x, June.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Roberto Rigobon & Brian P. Sack, 2003.
"Spillovers across U.S. financial markets,"
Finance and Economics Discussion Series
2003-13, Board of Governors of the Federal Reserve System (U.S.).
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