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A structural GARCH model: An application on South African data

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  • de Wet, W.A.

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  • de Wet, W.A., 2006. "A structural GARCH model: An application on South African data," Economic Modelling, Elsevier, vol. 23(5), pages 775-791, September.
    • Handle: RePEc:eee:ecmode:v:23:y:2006:i:5:p:775-791
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    References listed on IDEAS

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    1. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
    2. Rigobon, Roberto, 2002. "The curse of non-investment grade countries," Journal of Development Economics, Elsevier, vol. 69(2), pages 423-449, December.
    3. Roberto Rigobon & Brian Sack, 2003. "Spillovers Across U.S. Financial Markets," NBER Working Papers 9640, National Bureau of Economic Research, Inc.
    4. Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x, April.
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