مرکز منطقه ای اطلاع رساني علوم و فناوري - Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns

Title of article :

Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns

Author/Authors :

George A. Christodoulakis، نويسنده , , Stephen E. Satchell، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2002

Pages :

From page :

351

To page :

370

Keywords :

CorrARCH , CorGARCH , Correlation , Common shocks , Volatility , ARCH

Journal title :

European Journal of Operational Research

Serial Year :

2002

Journal title :

European Journal of Operational Research

Record number :

214096

Link To Document :