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Multivariate Modelling of 10-Day-Ahead VaR and Dynamic Correlation for Worldwide Real Estate and Stock Indices
Company: Journal of Economic Studies
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: August
Resource Link: Click here to open
Download Count: 0
View Count: 2067
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Language: English
Source: article
Who Can Read: Free
Date: 8-17-2014
Publisher: Administrator
A 14-dimensional multivariate Diag-VECH model for seven equity indices and their relative real estate indices is estimated. The authors evaluate the VaR forecasts over a period of two weeks in calendar time, or ten-trading-days, and at 99 percent confidence level based on the Basle Committee on Banking Supervision requirements.
(volume 41, number 2)
Kiohos, Apostolos Sign in to follow this author
Degiannakis, Stavros Sign in to follow this author
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