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~institution:"Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse"
~institution:"William Davidson Institute, University of Michigan"
~institution:"World Bank"
~person:"Teyssière, Gilles"
~subject:"Multivariate Analyse"
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Multivariate Analyse
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Teyssière, Gilles
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
William Davidson Institute, University of Michigan
World Bank
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Discussion papers of interdisciplinary research project 373
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Modelling exchange rates volatility with multivariate long-memory ARCH processes
Teyssière, Gilles
-
1999
-
Rev.
, and the Deutschmark-US dollar. The
estimation
results for both models show: (i) that the unrestricted model outperforms …
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