Forecasting value-at-risk using block structure multivariate stochastic volatility models
Manabu Asai; Massimiliano Caporin; Michael McAleer
| Year of publication: |
2012 ; Rev.
|
|---|---|
| Authors: | Asai, Manabu ; Caporin, Massimiliano ; McAleer, Michael |
| Publisher: |
Rotterdam : Econometric Institute |
| Subject: | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | USA | United States | 2000-2010 |
freely available
| Extent: | Online-Ressource (36 S., 200 KB) |
|---|---|
| Series: | Econometric Institute research papers. - Rotterdam : [Verlag nicht ermittelbar], ZDB-ID 2169625-1. - Vol. 2012-02 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:1765/31985 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009619566