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~isPartOf:"Tinbergen Institute Discussion Papers"
~person:"Claessens, Stijn"
~person:"McAleer, Michael"
~person:"Mendoza, Enrique G."
~person:"Stulz, René M."
~person:"Zimmermann, Klaus F."
~subject:"Multivariate Stochastic Volatility"
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Multivariate Stochastic Volatility
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daily capital charges
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optimizing strategy
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violation penalties
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aggressive or conservative risk management strategies
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global financial crisis
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Claessens, Stijn
McAleer, Michael
Mendoza, Enrique G.
Stulz, René M.
Zimmermann, Klaus F.
Asai, Manabu
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Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
Asai, Manabu
;
McAleer, Michael
-
Tinbergen Instituut
-
2014
-day horizons in the periods before, during and after the global
financial
crisis
. …
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