Comment on "Modelling nonlinear comovements between time series"

Bruce Mizrach

doi:10.1016/j.jmacro.2008.01.003

Comment on "Modelling nonlinear comovements between time series"

Bruce Mizrach

School of Arts and Sciences, Economics

Research output: Contribution to journal › Comment/debate › peer-review

Abstract

This paper comments on the multivariate GARCH modeling of federal funds and the 3-month Treasury bill rate by Kyrtsou and Vorlow.

Original language	English (US)
Pages (from-to)	212-215
Number of pages	4
Journal	Journal of Macroeconomics
Volume	31
Issue number	1
DOIs	https://doi.org/10.1016/j.jmacro.2008.01.003
State	Published - Mar 2009

All Science Journal Classification (ASJC) codes

Economics and Econometrics

Keywords

C4
G0
Nonlinearity
Short-term interest rates

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10.1016/j.jmacro.2008.01.003

Cite this

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title = "Comment on {"}Modelling nonlinear comovements between time series{"}",

abstract = "This paper comments on the multivariate GARCH modeling of federal funds and the 3-month Treasury bill rate by Kyrtsou and Vorlow.",

keywords = "C4, G0, Nonlinearity, Short-term interest rates",

author = "Bruce Mizrach",

year = "2009",

month = mar,

doi = "10.1016/j.jmacro.2008.01.003",

language = "English (US)",

volume = "31",

pages = "212--215",

journal = "Journal of Macroeconomics",

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KW - G0

KW - Nonlinearity

KW - Short-term interest rates

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DO - 10.1016/j.jmacro.2008.01.003

M3 - Comment/debate

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EP - 215

JO - Journal of Macroeconomics

JF - Journal of Macroeconomics

IS - 1

ER -

Comment on "Modelling nonlinear comovements between time series"

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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