Sin, Chor-yiu - In: Econometric analysis of financial and economic time series, (pp. 125-151). 2006
Macroeconomic or financial data are often modelled with cointegration and GARCH (Generalized Auto-Regressive Conditional Heteroskedasticity). Noticeable examples include those studies of price discovery in which stock prices of the same underlying asset are cointegrated and they exhibit...
