Bahram Pesaran

University of East London - Department of Applied Economics

Professor in Economics

Longbridge Road

Dagenham, Essex RM8 2AS

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

671

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (5)

1.

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

CESifo Working Paper Series No. 3023
Number of pages: 41 Posted: 26 Apr 2010
Bahram Pesaran and M. Hashem Pesaran
University of East London - Department of Applied Economics and University of Southern California - Department of Economics
Downloads 267 (141,099)

Abstract:

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volatilities and correlations, weekly returns, multivariate t, financial interdependence, VaR diagnostics, 2008 stock market crash

2.

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

IZA Discussion Paper No. 2906, CESifo Working Paper No. 2056, IEPR Working Paper No. 07.19
Number of pages: 41 Posted: 19 Jul 2007
Bahram Pesaran and M. Hashem Pesaran
University of East London - Department of Applied Economics and University of Southern California - Department of Economics
Downloads 240 (156,696)

Abstract:

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volatilities and correlations, futures market, multivariate t, financial interdependence, VaR diagnostics

3.

The Use of Spreads in Forecasting Medium Term U.K Interest Rates

Number of pages: 24 Posted: 25 Oct 1997
Bahram Pesaran and G. Wright
University of East London - Department of Applied Economics and University of East London - Department of Applied Economics
Downloads 164 (221,612)

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4.

The Statistical Distribution of Short-Term Libor Rates Under Two Monetary Regimes

Bank of England Working Paper No. 16
Posted: 06 Nov 2003
Bahram Pesaran and Gary Robinson
University of East London - Department of Applied Economics and Bank of England

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5.

An Assessment of the Relative Importance of Real Interest Rates, Inflation, and Term Premiums in Determining the Prices of Real and Nominal U.K. Bonds

The Review of Economics and Statistics, Vol. LXXIX, No. 3 (August 1997)
Posted: 08 Apr 1998
David G. Barr and Bahram Pesaran
Durham Business School and University of East London - Department of Applied Economics

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