Article thumbnail
Location of Repository

Modeling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t

By Bahram Pesaran and M. Hashem Pesaran

Abstract

An electronic version of the paper may be downloaded • from the SSRN website: www.SSRN.com • from the RePEc website: www.RePEc.org • from the CESifo website: Twww.CESifo-group.de

Topics: JEL Code, C51, C52, G11. Keywords, volatilities and correlations, futures market, multivariate t, financial interdependence, VaR diagnostics
Year: 2007
OAI identifier: oai:CiteSeerX.psu:10.1.1.934.1921
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://www.cesifo-group.de/por... (external link)
  • http://www.cesifo-group.de/por... (external link)
  • http://citeseerx.ist.psu.edu/v... (external link)
  • www.SSRN.com (external link)
  • www.RePEc.org (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.