scientific article; zbMATH DE number 5371346

zbMATH Open1164.91401MaRDI QIDQ3538255FDOQ3538255

Authors: Dong Wu, Yincai Tang 

Publication date: 24 November 2008

Title of this publication is not available (Why is that?)

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zbMATH Keywords

stable distributionvolatility clusteringEPGARCH modelleptokurtosis and fat-tailVaR calculation

Mathematics Subject Classification ID

Economic time series analysis (91B84) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• An empirical study of the EGARCH model of Shanghai stock composite index by the improved real-coded genetic algorithm
• Semi-parameter approach based on EGARCH-VaR model and empirical research
• Risk measurement and backtesting of financial market based on E-GAS-AST model

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