Guidolin, Massimo (contributor); … - 2005
Exchange Rates. A Mul-
tivariate Generalized ARCH Approach, Review of Economics and Statistics, 72, 498-505.
[4] Brennan, M., E …+
p
X
j=1
A
j
r
t−j
+ψε
t
, ε
t
=(ε
1,t
,...,ε
n,t
)
0
∼ IIN(0,I
n
). (1)
ψ is the Cholesky factor of the covariance … correlations in
returns be driven by a common state variable, S
t
, that takes integer values between 1 and k:
r
t
= µ
s
t
+
p
X
j …