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Keywords: Local correlation predictive power
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Journal Articles
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices
Available to Purchase
Journal:
Journal of Economic Studies
Journal of Economic Studies (2014) 41 (2): 216–232.
Published: 04 March 2014
... Local correlation predictive power Value-at-risk Value-at-risk (VaR) models calculate the maximum loss for a portfolio of financial instruments at a pre-specified time and level of confidence. VaR exhibits the attractive property of summarizing market risks in one single number. VaR at a given...
