VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
Year of publication: |
2009-11-23
|
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Authors: | McAleer, Michael ; Hakim, Hakim, A. |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | VaR | bonds | dynamic conditional correlations | futures | interdependence | spot | stocks |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2009-32 |
Classification: | G11 - Portfolio Choice ; G15 - International Financial Markets |
Source: |
-
VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
Hakim, A., (2009)
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