Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Economic Modelling

Volumn 27, Issue 6, 2010, Pages 1398-1416

  Pesaran, Bahram ^a   Pesaran, M Hashem ^b,c  

^a LLP ^*  (United Kingdom)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^c UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

2008 stock market crash; Financial interdependence; Multivariate t; VaR diagnostics; Volatilities and correlations; Weekly returns

Indexed keywords

EID: 77958170177     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2010.07.012     Document Type: Article

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