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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market


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Publication Date: 2010-04

Series: CWPE

1025

Publisher: Faculty of Economics

Type: Working Paper

Metadata: Show full item record

Citation: Pesaran, M. H. (2010). Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market. https://doi.org/10.17863/CAM.5304

Keywords: Volatilities and Correlations, Weekly Returns, Multivariate t, Financial Interdependence, VaR diagnostics, 2008 Stock Market Crash

Identifiers:

This record's DOI: https://doi.org/10.17863/CAM.5304

This record's URL: http://www.dspace.cam.ac.uk/handle/1810/229464https://www.repository.cam.ac.uk/handle/1810/229464







Autor: Pesaran, M. Hashem

Fuente: https://www.repository.cam.ac.uk/handle/1810/229464



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