Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "Time-varying covariance structures in currency markets"

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    • Time-varying covariance structures in currency markets 

      Lopes, Hedibert Freitas
      2000-07
      In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a ...