Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
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Publication:929674
DOI10.1016/j.matcom.2008.01.031zbMath1152.91741OpenAlexW2086750400MaRDI QIDQ929674
Bernardo da Veiga, Michael McAleer, Felix T. S. Chan
Publication date: 18 June 2008
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.031
multivariate conditional volatilityBasel accord penaltiesChina A and B sharesconditional correlationsvalue-at-risk thresholds
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Cites Work
- Stationarity and the existence of moments of a family of GARCH processes.
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- A test for volatility spillover with application to exchange rates
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