Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Year of publication: |
June 2015
|
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Authors: | Berens, Tobias ; Weiß, Gregor ; Wied, Dominik |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 32.2015, p. 135-152
|
Subject: | Estimation window | GARCH models | Multivariate time series | Structural breaks | VaR forecasting | Prognoseverfahren | Forecasting model | Strukturbruch | Structural break | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Schätztheorie | Estimation theory |
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