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
相关论文
共 50 条
  • [41] Nonlinear Time Series 2013
    Li, Ming
    Cattani, Carlo
    Lim, S. C.
    Scalia, Massimo
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2014, 2014
  • [42] NONLINEAR TIME SERIES ANALYSIS
    Munion, Ascher K.
    Butner, Jonathan E.
    PSYCHOMETRIKA, 2020, 85 (03) : 812 - 814
  • [43] COMMENT ON SMOOTHING OF TIME-SERIES
    HILDEBRAND, R
    SCHULTZ, M
    ANATOMISCHER ANZEIGER, 1984, 156 (03): : 245 - 247
  • [44] NEW TECHNIQUE FOR TIME SERIES - COMMENT
    LEBERGOT.S
    REVIEW OF ECONOMICS AND STATISTICS, 1973, 55 (04) : 525 - 527
  • [45] 2ND-GENERATION TIME-SERIES MODELS - SOME ADVANCES IN NONLINEAR AND ADAPTIVE MODELING IN TIME-SERIES ANALYSIS - COMMENT
    PENA, D
    JOURNAL OF FORECASTING, 1994, 13 (02) : 133 - 140
  • [46] Nonlinear time series modelling and prediction using Gaussian RBF network with evolutionary structure optimisation
    Hong, SG
    Oh, SK
    Kim, MS
    Lee, JJ
    ELECTRONICS LETTERS, 2001, 37 (10) : 639 - 640
  • [47] Multi-factor nonlinear time-series ecological modelling for algae bloom forecasting
    Wang, Li
    Zhang, Tianrui
    Jin, Xuebo
    Xu, Jiping
    Wang, Xiaoyi
    Zhang, Huiyan
    Yu, Jiabin
    Sun, Qian
    Zhao, Zhiyao
    Zheng, Lei
    DESALINATION AND WATER TREATMENT, 2018, 122 : 91 - 99
  • [48] Nonlinear time-series modelling by means of self-exciting threshold AR models
    Arnold, M
    Möller, U
    Witte, H
    THEORY IN BIOSCIENCES, 1999, 118 (3-4) : 261 - 266
  • [49] Time-frequency comovements between sovereign CDS and exchange rates: The role of sentiments
    Liu, Chang
    Sun, Xiaolei
    Li, Jianping
    GLOBAL FINANCE JOURNAL, 2023, 56
  • [50] Modelling and Prediction of Financial Time Series
    Bingham, N. H.
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2014, 43 (07) : 1351 - 1361
12345