Correlated ARCH (CorrARCH): Modelling the time-varying...

European Journal of Operational Research 2002 Vol. 139; Iss. 2

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

George A. Christodoulakis, Stephen E. Satchell
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Volume:
139
Year:
2002
Language:
english
Pages:
20
DOI:
10.1016/s0377-2217(01)00361-7
File:
PDF, 412 KB
english, 2002
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