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

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

Hiroki Tsurumi, Suduk Kim

Publication date: 6 February 2009

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

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

91B74: Economic models of real-world systems (e.g., electricity markets, etc.)