In the later part of the paper we established 3-variable BEKK model and Cholesky decomposition model including three exchange rates: Euros, Canadian dollars, pound sterling and focus on the time-varying correlation coefficient.

• 并在例子部分对欧元、加元、英镑的汇率收益建立了BEKK和Cholesky分解模型。 重点关注相关系数随时间变化这一特征。