Forecasting value-at-risk using block structure multivariate stochastic volatility models
Manabu Asai; Massimiliano Caporin; Michael McAleer
| Year of publication: |
2013
|
|---|---|
| Authors: | Asai, Manabu ; Caporin, Massimiliano ; McAleer, Michael |
| Publisher: |
Rotterdam |
| Subject: | Block structures | Multivariate stochastic volatility | Curse of dimensionality | Leverage effects | Multi-factors | Heavy-tailed distribution | 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 (35 S.) |
|---|---|
| Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2013,073 |
| 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:10419/87505 [Handle] |
| Classification: | C51 - Model Construction and Estimation ; C10 - Econometric and Statistical Methods: General. General ; C32 - Time-Series Models |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009767006