Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Bahram Pesaran; M. Hashem Pesaran
| Year of publication: |
2010
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|---|---|
| Authors: | Pesaran, Bahram ; Pesaran, M. Hashem |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 27.2010, 6, p. 1398-1416
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| Subject: | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility | Preiskonvergenz | Price convergence | Korrelation | Correlation | Aktienmarkt | Stock market | Risiko | Risk | Finanzkrise | Financial crisis | VAR-Modell | VAR model | Schätzung | Estimation | Welt | World |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10008825760