Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk (Q929674): Difference between revisions
From MaRDI portal
Latest revision as of 12:15, 28 June 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
0 references