Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Bahram Pesaran and M. Hashem Pesaran

Year of publication:	June 2007
Other Persons:	Pesaran, Bahram (contributor) ; Pesaran, M. Hashem (contributor)
Publisher:	Cambridge : Univ. of Cambridge, Dep. of Applied Economics, Faculty of Economics
Subject:	Währungsderivat \| Currency derivative \| Futures \| Volatilität \| Volatility \| Korrelation \| Correlation \| Multivariate Analyse \| Multivariate analysis \| Statistische Verteilung \| Statistical distribution \| VAR-Modell \| VAR model \| Theorie \| Theory \| Schätzung \| Estimation \| EU-Staaten \| EU countries

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10003491106

A service of the