Search Results for covariance

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This paper examines linkages across North America by estimating the size of spillovers from the...

In managing their foreign exchange exposure, international investors, including central banks,...

VARs of real growth since 1970 are used to estimate spillovers between the U.S., euro area,...

This paper presents some conventional and new measures of market, credit, and liquidity risks for...

The existing literature suggests a number of alternative methods to test for the presence of...

This paper presents a multivariate (MV) methodology for obtaining measures of excess demand that...