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- Tue Mar 13, 2012 8:08 pm
- Forum: Programming
- Topic: Bivariate EGARCH with simultaneity problems
- Replies: 0
- Views: 1675
Bivariate EGARCH with simultaneity problems
Dear expert, I am betty. I am now working on volatility transmission between oil and corn markets. Since the trainding time is different, the corn of today will influence the oil of today, while the oil of yesterday will influence the corn of today. Thus I have the mean equation as belows: series y1...