Forcasting Portofolio Value-At-Risk for International Stocks, Bonds, and Foreign Exchange Emerging Market Evidence
This paper uncovers the nature of conditional correlations between and volatility spillovers across bond, stock and foreign exchange in Indonesia, Malaysia, the Philippines, and Thailand. Using various multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models, it finds th...
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Format: | Article |
Language: | English |
Published: |
Universitas Islam Indonesia
2011-09-01
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Series: | Economic Journal of Emerging Markets |
Online Access: | http://uiistage.openjournaltheme.com/3310/index.php/JEP/article/view/2281 |
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