Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model

Journal of Forecasting

Volumn 27, Issue 1, 2008, Pages 1-19

  McAleer, Michael ^a   Da Veiga, Bernardo ^a  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Conditional correlations; Forecasting VaR; Multivariate GARCH; Parsimonious portfolio spillovers; Value at risk (VaR) thresholds; Volatility

Indexed keywords

MATHEMATICAL MODELS; OIL BOOMS; RISK ASSESSMENT; STATISTICAL METHODS;

MULTIVARIATE EFFECTS; SPILLOVER EFFECTS;

FORECASTING;

EID: 39349111718     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1049     Document Type: Article

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