Modelling non-linear comovements between time series

Journal of Macroeconomics

Volumn 31, Issue 1, 2009, Pages 200-211

  Kyrtsou, Catherine ^a   Vorlow, Costas ^b,c  

^a UNIVERSITY OF MACEDONIA   (Greece)

^b Eurobank EFG Economic Research and Forecasting   (Greece)

^c DURHAM UNIVERSITY   (United Kingdom)

Author keywords

BEKK Garch and Mackey Glass processes; Comovements; Interest rates; Non linear dynamics; Structural changes

Indexed keywords

EID: 59649096027     PISSN: 01640704     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmacro.2008.02.001     Document Type: Article

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