Modelling interest rates with a cointegrated VAR-GARCH model
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- Lengwiler, Yvan & Lenz, Carlos, 2010.
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- Yvan Lengwiler & Carlos Lenz, 2008. "Intelligible Factors for the Yield Curve," Working Papers 2008-02, Swiss National Bank.
- Chang, Yoosoon & Isaac Miller, J. & Park, Joon Y., 2009. "Extracting a common stochastic trend: Theory with some applications," Journal of Econometrics, Elsevier, vol. 150(2), pages 231-247, June.
- J. Isaac Miller & Yoosoon Chang & Joon Y. Park, 2005.
"Extracting a Common Stochastic Trend:Theories with Some Applications,"
Working Papers
0507, Department of Economics, University of Missouri, revised 18 Aug 2005.
- Chang, Yoosoon & Miller, J. Isaac & Park, Joon Y., 2005. "Extracting a Common Stochastic Trend: Theories with Some Applications," Working Papers 2005-06, Rice University, Department of Economics.
- Ge, Yuanlong & Wang, H. Holly & Ahn, Sung K., 2008. "Implication of Cotton Price Behavior on Market Integration," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37623, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- 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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