Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk (Q929674): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 02:38, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk |
scientific article |
Statements
Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk (English)
0 references
18 June 2008
0 references
China A and B shares
0 references
value-at-risk thresholds
0 references
Basel accord penalties
0 references
multivariate conditional volatility
0 references
conditional correlations
0 references
