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Browsing by Subject "A Multivariate GARCH Approach"

Browsing by Subject "A Multivariate GARCH Approach"

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  • John Francis Diaz; Peh Ying Qian; Genevieve Liao Tan (© Lahore School of Economics, 2018)
    This paper utilizes three Multivariate General Autoregressive Conditional Heteroscedasticity (MGARCH) models to determine variance persistence in the Greater China region from 2009 to 2014. The first approach applies the ...