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
2010-04Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Type
Working Paper
Metadata
Show full item recordCitation
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
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