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Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns

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  • Christodoulakis, George A.
  • Satchell, Stephen E.

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  • Christodoulakis, George A. & Satchell, Stephen E., 2002. "Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns," European Journal of Operational Research, Elsevier, vol. 139(2), pages 351-370, June.
    • Handle: RePEc:eee:ejores:v:139:y:2002:i:2:p:351-370
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