Forecasting value-at-risk using block structure multivariate stochastic volatility models
Year of publication: |
November 2015
|
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Authors: | Asai, Manabu ; Caporin, Massimiliano ; McAleer, Michael |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 40.2015, p. 40-50
|
Subject: | Block structures | Multivariate stochastic volatility | Leverage effects | Multi-factors | Heavy-tailed distribution | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Schätzung | Estimation | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling |
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