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

George A. Christodoulakis and Stephen E. Satchell

European Journal of Operational Research, 2002, vol. 139, issue 2, 351-370

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:139:y:2002:i:2:p:351-370

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