Korean currency crisis and regime change: a multivariate GARCH model with Bayesian approach

DOI10.1023/A:1010032518979zbMath1153.91759OpenAlexW1496100607MaRDI QIDQ1000500

Hiroki Tsurumi, Suduk Kim

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010032518979

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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