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The European exchange rate mechanism and the volatility of the Sterling-Deutschemark exchange rate

Pesaran, Bahram - In: The economic journal : the journal of the Royal … 103 (1993) 421, pp. 1418-1431

Persistent link: https://www.econbiz.de/10001153267

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

The intertemporal elasticity of substitution in consumption in the US and the UK

Patterson, Kerry D.; Pesaran, Bahram - 1992

Persistent link: https://www.econbiz.de/10000846198

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