A Multivariate GARCH Model with Time-Varying correlations
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- Yiu Kuen Tse & Albert K. C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometric Society World Congress 2000 Contributed Papers 0250, Econometric Society.
- Y.K. Tse & Albert K.C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometrics 0004007, University Library of Munich, Germany.
References listed on IDEAS
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- repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
More about this item
Keywords
BEKK model; constant correlation; Monte Carlo method; multivariate GARCH model; maximum likelihood estimate; varying correlation;JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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