Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Hanyu Zhang, Alfonso Dufour
| Year of publication: |
2024
|
|---|---|
| Authors: | Zhang, Hanyu ; Dufour, Alfonso |
| Published in: |
The quarterly review of economics and finance. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9769, ZDB-ID 2002261-X. - Vol. 94.2024, p. 241-251
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| Subject: | Contagion | High-frequency data | Intraday vaR | Multivariate GARCH | ARCH-Modell | ARCH model | Finanzkrise | Financial crisis | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | Risikomaß | Risk measure | Börsenkurs | Share price | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Ansteckungseffekt | Contagion effect | VAR-Modell | VAR model | Zeit | Time | Aktienmarkt | Stock market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2024.02.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014494675