Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market
Year of publication: |
2010-05-29
|
---|---|
Authors: | Pesaran, M.H. |
Institutions: | Faculty of Economics, University of Cambridge |
Subject: | Volatilities and Correlations | Weekly Returns | Multivariate t | Financial Interdependence | VaR diagnostics | 2008 Stock Market Crash |
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