Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Year of publication: |
2024
|
---|---|
Authors: | Zhang, Hanyu ; Dufour, Alfonso |
Published in: |
The quarterly review of economics and finance. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9769, ZDB-ID 2002261-X. - Vol. 94.2024, p. 241-251
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Subject: | Contagion | High-frequency data | Intraday vaR | Multivariate GARCH | ARCH-Modell | ARCH model | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Finanzkrise | Financial crisis | Volatilität | Volatility | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Risikomanagement | Risk management | VAR-Modell | VAR model | Finanzmarkt | Financial market | Ansteckungseffekt | Contagion effect |
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