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
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
Subjects
Volatilities and Correlations, Weekly Returns, Multivariate t, Financial Interdependence, VaR diagnostics, 2008 Stock Market Crash
Identifiers
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