Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model

Franc Klaassen

No 1999-10, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Correlations; multivariate models; GARCH; factor models; exchange rates (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (12)

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Working Paper: Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model (1999)
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