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Multivariate Modelling of 10-Day-Ahead VaR and Dynamic Correlation for Worldwide Real Estate and Stock Indices

Degiannakis, Stavros Antonios - 2018

The Basel Committee regulations require the estimation of Value-at-Risk at 99% confidence level for a 10-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically distributed real-estate...

Persistent link: https://www.econbiz.de/10012910122