Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Tobias Berens, Gregor N.F. Weiß, Dominik Wied (Technische Universität Dortmund, Germany)
| Year of publication: |
June 2015
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|---|---|
| Authors: | Berens, Tobias ; Weiß, Gregor ; Wied, Dominik |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 32.2015, p. 135-152
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| Subject: | Estimation window | GARCH models | Multivariate time series | Structural breaks | VaR forecasting | Strukturbruch | Structural break | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.03.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011556809