A range-based multivariate stochastic volatility model for exchange rates

B. Tims, R.J. Mahieu

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@article{43e9447640344ac1bb1022a833a26231,

title = "A range-based multivariate stochastic volatility model for exchange rates",

author = "B. Tims and R.J. Mahieu",

note = "Pagination: 16",

year = "2006",

language = "English",

volume = "25",

pages = "409--424",

journal = "Econometric Reviews",

issn = "0747-4938",

publisher = "Taylor and Francis Ltd.",

number = "2-3",

}