Narrow search
Showing 1 - 10 of 451
Cover Image
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, M. Hashem - 2010
Persistent link: https://www.econbiz.de/10003981032
Cover Image
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10003965868
Cover Image
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003491106
Cover Image
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10003586562
Cover Image
Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003499671
Cover Image
On the exposure of the BRIC countries to global economic shocks
Belke, Ansgar; Dreger, Christian; Dubova, Irina - 2016
The financial crisis led to a deep recession in many industrial countries. While large emerging countries recovered relatively quickly from the financial crisis, their performance deteriorated in the last years, despite the modest recovery in advanced economies. The higher divergence of business...
Persistent link: https://www.econbiz.de/10011506456
Cover Image
On the exposure of the BRIC countries to global economic shocks
Belke, Ansgar; Dreger, Christian; Dubova, Irina - 2016
The financial crisis led to a deep recession in many industrial countries. While large emerging countries recovered relatively quickly from the financial crisis, their performance deteriorated in the last years, despite the modest recovery in advanced economies. The higher divergence of business...
Persistent link: https://www.econbiz.de/10011506905
Cover Image
On the exposure of the BRIC countries to global economic shocks
Belke, Ansgar; Dreger, Christian; Dubova, Irina - 2016
The financial crisis led to a deep recession in many industrial countries. However, the downturn in large emerging markets turned out to be less persistent. Despite the modest recovery in advanced economies, GDP growth declined in emerging markets in the last years. The higher divergence of...
Persistent link: https://www.econbiz.de/10011581929
Cover Image
On the exposure of the BRIC countries to global economic shocks
Belke, Ansgar; Dreger, Christian; Dubova, Irina - 2017
The financial crisis led to a deep recession in many industrial countries. While large emerging countries recovered relatively quickly from the financial crisis, their performance deteriorated in the recent years, despite the modest recovery in advanced economies. The higher divergence of...
Persistent link: https://www.econbiz.de/10012110982
Cover Image
On the exposure of the BRIC countries to global economic shocks
Belke, Ansgar; Dreger, Christian; Dubova, Irina - 2017
The financial crisis led to a deep recession in many industrial countries. While large emerging countries recovered relatively quickly from the financial crisis, their performance deteriorated in the recent years, despite the modest recovery in advanced economies. The higher divergence of...
Persistent link: https://www.econbiz.de/10011631497