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Persistent link: https://www.econbiz.de/10008825760

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

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868

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Measuring stock market contagion : local or common currency returns?

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