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Keywords: Value-at-risk
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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
...Stavros Degiannakis; Apostolos Kiohos Purpose – The Basel Committee regulations require the estimation of value-at-risk (VaR) at 99 percent confidence level for a ten-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates...
