A range-based multivariate stochastic volatility model for exchange rates

Econometric Reviews

Volumn 25, Issue 2-3, 2006, Pages 409-424

  Tims, Ben ^a   Mahieu, Ronald ^a  

^a ERASMUS UNIVERSITY   (Netherlands)

Author keywords

Exchange rates; Multivariate stochastic volatility models; Range based volatility

Indexed keywords

EID: 33747807393     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930600712814     Document Type: Article

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