Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets
Year of publication: |
2004-10-05
|
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Authors: | Mendoza, Alfonso |
Institutions: | EconWPA |
Subject: | Financial Stability | Credit Risk | Default Risk Contagion | Long Memory | Bivariate FIGARCH(1 | 1)-in-Mean | Emerging Markets |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 28. 28 pages, PDF 28 pages |
Classification: | F3 - International Finance ; F42 - International Policy Coordination and Transmission ; G12 - Asset Pricing ; G15 - International Financial Markets |
Source: |
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