Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
M. Hashem Pesaran
| Year of publication: |
2010
|
|---|---|
| Authors: | Pesaran, M. Hashem |
| Publisher: |
Cambridge : Univ. of Cambridge, Dep. of Applied Economics, Faculty of Economics |
| Subject: | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility | Preiskonvergenz | Price convergence | Korrelation | Correlation | Aktienmarkt | Stock market | Risiko | Risk | Finanzkrise | Financial crisis | VAR-Modell | VAR model | Schätzung | Estimation | Welt | World |
freely available
| Extent: | Online-Ressource (PDF-Datei: 36 S.) graph. Darst. |
|---|---|
| Series: | Cambridge working papers in economics. - Cambridge : [Verlag nicht ermittelbar], ZDB-ID 2106951-7. - Vol. 1025 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:1810/229464 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003981032