Testing for structural breaks in correlation : does it improve Value-at-Risk forecasting?

Tobias Berens, Gregor N. F. Weiß, Dominik Wied

Year of publication:	2013
Authors:	Berens, Tobias ; Weiß, Gregor ; Wied, Dominik
Publisher:	Dortmund : SFB 823
Subject:	CCC-GARCH \| DCC-GARCH \| estimation window \| structural breaks \| VaR-forecast \| Strukturbruch \| Structural break \| Korrelation \| Correlation \| Risikomaß \| Risk measure \| Prognoseverfahren \| Forecasting model \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation

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