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The statistical distribution of short-term LIBOR rates under two monetary regimes

Pesaran, Bahram - In: The Cyprus journal of economics 8 (1995) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10001195307

The European exchange rate mechanism and the volatility of the sterling-Deutsche Mark futures rate

Pesaran, Bahram - In: Review of futures markets 11 (1993) 1, pp. 118-135

Persistent link: https://www.econbiz.de/10001168687

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003491106

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10003586562

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003499671

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Pesaran, Bahram; Pesaran, M. Hashem - 2021

Persistent link: https://www.econbiz.de/10013316934