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~subject:"multivariate GARCH model"
~person:"Tsui, Albert K. C."
~person:"Zhang, Jiangxingyun"
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multivariate GARCH model
BEKK model
1
Draghi Put
1
EMU debt crisis
1
Monte Carlo method
1
OMT
1
bond markets
1
constant correlation
1
flight to quality
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maximum likelihood estimate
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Tsui, Albert K. C.
Zhang, Jiangxingyun
Tsay, Ruey S.
3
Wang, Yongning
3
Choi, Hankyeung
2
Leatham, David J.
2
Saidi, Youssef
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Sukcharoen, Kunlapath
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Al-Jarrah, Idries Mohammad Wanas
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Al-Yahyaee, Khamis Hamed
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Cai, Huan
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Chen, Chun-Da
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El Ghini, Ahmed
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Ghini, Ahmed El
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Kang, Sang Hoon
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Lai, YiHao
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Majerowska, Ewa
1
Martin, Franck
1
Mensi, Walid
1
Morana, Claudio
1
Revoredo Giha, César L.
1
Tse, Y. K.
1
Tse, Y.K.
1
Tsui, Albert K.C.
1
Tsuji, Chikashi
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Xuan Vinh Vo
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Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ?
Martin, Franck
;
Zhang, Jiangxingyun
- In:
Economics Bulletin
34
(
2014
)
2
,
pp. 1327-1349
period of 2008-2013. By applying a
multivariate
GARCH
model and a flight-to-quality test, the empirical results support not …
Persistent link: https://www.econbiz.de/10010786405
Saved in:
2
A
Multivariate
GARCH
Model with Time-Varying correlations
Tse, Y. K.
;
Tsui, Albert K. C.
-
EconWPA
-
2000
In this paper we propose a new
multivariate
GARCH
model with time- varying correlations. We adopt the vech …
Persistent link: https://www.econbiz.de/10005119111
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