Forecasting value-at-risk using block structure multivariate stochastic volatility models
Manabu Asai, Massimiliano Caporin, and Michael McAleer
| Year of publication: |
2012 ; Rev.
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|---|---|
| Authors: | Asai, Manabu ; Caporin, Massimiliano ; McAleer, Michael |
| Institutions: | University of Canterbury / Dept. of Economics and Finance (contributor) |
| Publisher: |
Christchurch, N.Z : Dept. of Economics and Finance, College of Business and Economics, University of Canterbury |
| 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 |
| Extent: | Online-Ressource (1 electronic document (36 p., 360,39 Kb) |
|---|---|
| Series: | Working paper. - Christchurch, New Zealand, ZDB-ID 2579761-X. - Vol. 2012,04 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Archived by the National Library of New Zealand Title from PDF cover (viewed on May 21, 2012) Hypertext links contained in the archived instances of this title are non-functional Includes bibliographical references (p. 22-26) Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009562985