Forecasting value-at-risk using block structure multivariate stochastic volatility models
Manabu Asai, Massimiliano Caporin, Michael McAleer
| 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
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| 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 | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.02.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011571858