Joint modeling of cointegration and conditional heteroscedasticity with applications
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Volume (Year): 57 (2005)
Issue (Month): 1 (March)
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- Robert-Jan Gerrits & Ayse Yuce, 1999. "Short- and long-term links among European and US stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 1-9.
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- Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
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"The search for equilibrium relationships in international finance: the case of the monetary model,"
Journal of International Money and Finance,
Elsevier, vol. 10(4), pages 582-593, December.
- Baillie, R.T. & Pecchenino, R.A., 1991. "The Search for Equilibrium Relationships in International Finance : The Case of the Monetary Model," Papers 9003, Michigan State - Econometrics and Economic Theory.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Jorion, Philippe & Schwartz, Eduardo, 1986. " Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 41(3), pages 603-14, July.
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