Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock MarketReport as inadecuate


Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market


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Publication Date: 2010-04

Series: CWPE

1025

Publisher: Faculty of Economics

Type: Working Paper

Metadata: Show full item record

Citation: Pesaran, M. H. (2010). Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market. https://doi.org/10.17863/CAM.5304

Keywords: Volatilities and Correlations, Weekly Returns, Multivariate t, Financial Interdependence, VaR diagnostics, 2008 Stock Market Crash

Identifiers:

This record's DOI: https://doi.org/10.17863/CAM.5304

This record's URL: http://www.dspace.cam.ac.uk/handle/1810/229464https://www.repository.cam.ac.uk/handle/1810/229464







Author: Pesaran, M. Hashem

Source: https://www.repository.cam.ac.uk/handle/1810/229464



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