Modelling interest rates with a cointegrated VAR-GARCH model
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References listed on IDEAS
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- Lengwiler, Yvan & Lenz, Carlos, 2010. "Intelligible factors for the yield curve," Journal of Econometrics, Elsevier, vol. 157(2), pages 481-491, August.
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"Extracting a Common Stochastic Trend:Theories with Some Applications,"
0507, Department of Economics, University of Missouri, revised 18 Aug 2005.
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- Hui, Cho-Hoi & Fong, Tom Pak-Wing, 2015. "Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 174-190.
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