Multivariate Modelling of 10-Day-Ahead VaR and Dynamic Correlation for Worldwide Real Estate and Stock Indices
Year of publication: |
2018
|
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Authors: | Degiannakis, Stavros Antonios |
Other Persons: | Kiohos, Apostolos (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Aktienindex | Stock index | VAR-Modell | VAR model | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | Immobilienmarkt | Real estate market | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (24 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: MPRA Paper No. 80438 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2014 erstellt |
Classification: | G1 - General Financial Markets ; C4 - Econometric and Statistical Methods: Special Topics ; C5 - Econometric Modeling |
Source: | ECONIS - Online Catalogue of the ZBW |
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