Paper on Garch

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 12/17/99
03:17 PM ---------------------------

"Van Belle, Magali" <mvanbelle@haglerbailly.com< on 12/13/99 02:51:55 PM
To: Vince J Kaminski/HOU/ECT@ECT
cc:
Subject: Paper on Garch

Vincent,

I met you at the Risk conference last week in Houston. I enjoyed your
presentations very much.
I was wondering if you could give me some references regarding the
calculation of correlation coefficients from a GARCH model.

Thank you.

Magali Van Belle
Consultant

PHB Hagler Bailly
MANAGEMENT AND ECONOMIC CONSULTANTS

PHB Hagler Bailly, Inc. (202) 828-3933 direct dial
1776 Eye Street, N.W. (202) 296-3858 facsimile
Washington, D.C. 20006-3700
mvanbell@haglerbailly.com e-mail