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~person:"Mahieu, Ronald"
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exchange rates
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multivariate stochastic volatility models
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Mahieu, Ronald
Asai, Manabu
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McAleer, Michael
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
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A Range-Based Multivariate Model for Exchange Rate Volatility
Mahieu, Ronald
;
Tims, Tims, B.
-
Erasmus Research Institute of Management (ERIM), …
-
2003
-low ranges of daily exchange rates. The
multivariate
stochastic
volatility
model divides the log range of each exchange rate into …
Persistent link: https://www.econbiz.de/10010731210
Saved in:
2
A Range-Based
Multivariate
Stochastic
Volatility
Model for Exchange Rates
Tims, Ben
;
Mahieu, Ronald
- In:
Econometric Reviews
25
(
2006
)
2-3
,
pp. 409-424
-low ranges of daily exchange rates. The
multivariate
stochastic
volatility
model decomposes the log range of each exchange rate …
Persistent link: https://www.econbiz.de/10009228506
Saved in:
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