Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices
Stavros Degiannakis; Apostolos Kiohos
| Year of publication: |
2014
|
|---|---|
| Authors: | Degiannakis, Stavros ; Kiohos, Apostolos |
| Published in: |
Journal of economic studies. - Bradford : Emerald, ISSN 0144-3585, ZDB-ID 127399-1. - Vol. 41.2014, 2, p. 216-232
|
| Subject: | Real estate market | Basel committee requirements | Diag-VECH | Dynamic correlation | Local correlation predictive power | Value-at-risk | Korrelation | Correlation | Immobilienmarkt | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Immobilienpreis | Real estate price | Aktienindex | Stock index | Multivariate Analyse | Multivariate analysis | Basler Akkord | Basel Accord | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010259271