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VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
- Publication Year :
- 2009
-
Abstract
- The paper investigates the interdependence and conditional correlations between futures contracts and their underlying assets, both for stock and bond markets, and the impact of the interdependence and conditional correlations on VaR forecasts. The paper finds evidence of volatility spillo
Details
- Database :
- OAIster
- Notes :
- application/pdf, Report / Econometric Institute, Erasmus University Rotterdam, pp. 1-26, English
- Publication Type :
- Electronic Resource
- Accession number :
- edsoai.ocn929966813
- Document Type :
- Electronic Resource