Comment on "Modelling nonlinear comovements between time series"

被引：0
|
作者：
Mizrach, Bruce [1 ]
机构：
[1] Rutgers State Univ, Dept Econ, New Brunswick, NJ 08901 USA
来源：
JOURNAL OF MACROECONOMICS | 2009年 / 31卷 / 01期
关键词：
Nonlinearity; Short-term interest rates; FEDERAL-FUNDS RATE; PRICES;
D O I：
10.1016/j.jmacro.2008.01.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper comments on the multivariate GARCH modeling of federal funds and the 3-month Treasury bill rate by Kyrtsou and Vorlow. (C) 2008 Elsevier Inc. All rights reserved.
引用
收藏
页码：212 / 215
页数：4
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