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Multivariate modelling of interest rates with a cointegrated VAR-GARCH model

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Bibliographic reference Bauwens, Luc ; Deprins, Dominique ; Vandeuren, Jean-Pierre. Multivariate modelling of interest rates with a cointegrated VAR-GARCH model. CORE Discussion Paper ; 9780 (1997)
Permanent URL http://hdl.handle.net/2078.1/73978