Comment on "Modelling nonlinear comovements between time series"

Bruce Mizrach ()

Journal of Macroeconomics, 2009, vol. 31, issue 1, pages 212-215

Abstract: This paper comments on the multivariate GARCH modeling of federal funds and the 3-month Treasury bill rate by Kyrtsou and Vorlow.

Keywords: G0; C4; Nonlinearity; Short-term; interest; rates (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:jmacro:v:31:y:2009:i:1:p:212-215

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