scientific article; zbMATH DE number 5371346

MaRDI QIDQ3538255zbMATH OpenFDO

Authors Dong Wu, Yincai Tang

Publication date 24 November 2008

zbMATH Keywords

EPGARCH modelleptokurtosis and fat-tailstable distributionVaR calculationvolatility clustering

Mathematics Subject Classification ID

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

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Cited in

(3)

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

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