A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility

Martin, Bernhard; Rachev, Svetlozar T.

doi:10.1016/s1474-6670(17)33066-5

IFAC Proceedings Volumes

2001

DOI: 10.1016/s1474-6670(17)33066-5

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A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility

Bernhard Martin

Svetlozar T. Rachev

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A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility

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References 11 publications

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