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
CWPE
1025
Publisher
Faculty of Economics, University of Cambridge, UK
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.
Subjects
Volatilities and Correlations, Weekly Returns, Multivariate t, Financial Interdependence, VaR diagnostics, 2008 Stock Market Crash
Identifiers
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/229464