Forecasting Value-at-Risk using block structure multivariate stochastic volatility models

Research output: Contribution to journal › Article › Academic › peer-review

5 Citations (Scopus)

Original language	English
Pages (from-to)	40-50
Number of pages	11
Journal	International Review of Economics and Finance
Volume	40
DOIs	https://doi.org/10.1016/j.iref.2015.02.004
Publication status	Published - 2016

Research programs

@article{002f58190768488f892abe8af0811fd2,

title = "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models",

author = "M Asai and M Caporin and Michael McAleer",

year = "2016",

doi = "10.1016/j.iref.2015.02.004",

language = "English",

volume = "40",

pages = "40--50",

journal = "International Review of Economics and Finance",

issn = "1059-0560",

publisher = "Elsevier Inc.",

}

TY - JOUR

T1 - Forecasting Value-at-Risk using block structure multivariate stochastic volatility models

AU - Asai, M

AU - Caporin, M

AU - McAleer, Michael

PY - 2016

Y1 - 2016

U2 - 10.1016/j.iref.2015.02.004

DO - 10.1016/j.iref.2015.02.004

M3 - Article

SN - 1059-0560

VL - 40

SP - 40

EP - 50

JO - International Review of Economics and Finance

JF - International Review of Economics and Finance

ER -