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

dc.contributor.author	Pesaran, M. Hashem	en_GB
dc.date.accessioned	2011-01-07T11:33:37Z
dc.date.available	2011-01-07T11:33:37Z
dc.date.issued	2010-04	en_GB
dc.identifier.other	CWPE1025
dc.identifier.uri	http://www.dspace.cam.ac.uk/handle/1810/229464
dc.identifier.uri	https://www.repository.cam.ac.uk/handle/1810/229464
dc.publisher	Faculty of Economics
dc.relation.ispartofseries	Cambridge Working Papers in Economics
dc.rights	All Rights Reserved	en
dc.rights.uri	https://www.rioxx.net/licenses/all-rights-reserved/	en
dc.subject	Volatilities and Correlations	en_GB
dc.subject	Weekly Returns	en_GB
dc.subject	Multivariate t	en_GB
dc.subject	Financial Interdependence	en_GB
dc.subject	VaR diagnostics	en_GB
dc.subject	2008 Stock Market Crash	en_GB
dc.title	Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market	en_GB
dc.type	Working Paper	en_GB
dc.identifier.doi	10.17863/CAM.5304

Cambridge Working Papers in Economics (CWPE)
A new series of papers from the Faculty of Economics and the Department of Applied Economics, which supersedes the DAE Working Paper series