Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models

M Asai, M Caporin, Michael McAleer

Research output: Book/Report/Inaugural speech/Farewell speechReportAcademic

Original languageEnglish
Place of PublicationRotterdam
EditionEI report serie EI 2012-02
Publication statusPublished - 2012

Publication series

SeriesEI report serie
VolumeEI 2012-02

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