Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market

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Authors
Pesaran, M. Hashem
Publication Date
2010-04
Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Type
Working Paper
Metadata
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Citation
Pesaran, M. H. (2010). Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market. https://doi.org/10.17863/CAM.5304
Keywords
Volatilities and Correlations, Weekly Returns, Multivariate t, Financial Interdependence, VaR diagnostics, 2008 Stock Market Crash
Identifiers
CWPE1025
This record's DOI: https://doi.org/10.17863/CAM.5304
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/229464https://www.repository.cam.ac.uk/handle/1810/229464
Rights
All Rights Reserved
Licence URL: https://www.rioxx.net/licenses/all-rights-reserved/
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