Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market
Pesaran, M. Hashem
Faculty of Economics, University of Cambridge, UK
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Pesaran, M. H. (2010). Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market.
Volatilities and Correlations, Weekly Returns, Multivariate t, Financial Interdependence, VaR diagnostics, 2008 Stock Market Crash
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/229464