| Title: | Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market |
| Authors: | Pesaran, M Hashem |
| Keywords: | Volatilities and Correlations Weekly Returns Multivariate t Financial Interdependence VaR diagnostics 2008 Stock Market Crash |
| Issue Date: | Apr-2010 |
| Publisher: | Faculty of Economics, University of Cambridge, UK |
| Series/Report no.: | CWPE 1025 |
| URI: | http://www.dspace.cam.ac.uk/handle/1810/229464 |
| Appears in Collections: | Cambridge Working Papers in Economics |
Files in This Item:
|
| Additional resources for this item |
|---|
| search for alternative versions in eresources@cambridge |
| retrieve citation metadata in EndNote format |
This item has been accessed 427 times.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.