Linkages Among Asset Markets in the United States : Tests in a Bivariate GARCH Framework /
This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of ano...
| প্রধান লেখক: | |
|---|---|
| অন্যান্য লেখক: | |
| বিন্যাস: | পত্রিকা |
| ভাষা: | English |
| প্রকাশিত: |
Washington, D.C. :
International Monetary Fund,
1999.
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| মালা: | IMF Working Papers; Working Paper ;
No. 1999/158 |
| অনলাইন ব্যবহার করুন: | Full text available on IMF |