"Correlated ARCH (CorrARCH): Modelling the time-varying conditional ..."

George A. Christodoulakis, Stephen E. Satchell (2002)

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DOI: 10.1016/S0377-2217(01)00361-7

access: closed

type: Journal Article

metadata version: 2020-02-21

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George A. Christodoulakis, Stephen E. Satchell:
Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns. Eur. J. Oper. Res. 139(2): 351-370 (2002)

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