Study of stock index risk measures

zbMATH Open1199.91245MaRDI QIDQ3403496FDOQ3403496

Authors: Shuhong He, J. Wu, Fene Tao 

Publication date: 12 February 2010

Recommendations

• Study on dynamic risk measurement based on GJR and EVT
• Risk analysis of the investment portfolio based on the POT-VaR hybrid model
• A research based on POT-CAViaR model of extreme risk measure
• scientific article; zbMATH DE number 1501137
• Risk management under a factor stochastic volatility model

zbMATH Keywords

POT modelVaR modelES modelstock index contract

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (4)

• Empirical analysis on risk of security investment
• The risks and returns of stock investment in a financial market
• Title not available (Why is that?)
• Stock performance evaluation incorporating high moments and disaster risk: evidence from Japan

This page was built for publication: Study of stock index risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3403496)