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Document type:
Zeitschriftenaufsatz 
Author(s):
Schreiber, I., Müller, G., Klüppelberg, C, Wagner, N. 
Title:
Equities, credits and volatilities: a multivariate analysis of the european market during the sub-prime crisis 
Abstract:
Motivated by recent developments in light of the sub-prime and subsequent financial crisis we fit two different vector autoregressive generalized conditional heteroscedastic (VAR-GARCH) models to three financial indices with the aim of understanding the development of dependency structures between credit spreads and other macroeconomic variables. Our analysis includes daily quotes from June 2004 to April 2009 of the iTraxx Europe index, the Dow Jones Euro Stoxx 50 index, and the Dow Jo...    »
 
Journal title:
International Review of Financial Analysis 
Year:
2012 
Journal volume:
24 
Pages contribution:
57–65 
Reviewed:
ja 
Language:
en 
Print-ISSN:
1057-5219 
Status:
Erstveröffentlichung 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text