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~subject:"multivariate GARCH model"
~person:"Yang, Sheng-Yung"
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multivariate GARCH model
exchange rate risk
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international asset pricing
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time-varying risk premiums
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Yang, Sheng-Yung
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Review of Quantitative Finance and Accounting
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International Asset Excess Returns and Multivariate Conditional Volatilities
Chiang, Thomas
;
Yang, Sheng-Yung
- In:
Review of Quantitative Finance and Accounting
24
(
2005
)
3
,
pp. 295-312
. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a
multivariate
GARCH
model shows that …
Persistent link: https://www.econbiz.de/10005542131
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