Forecasting the Value-at-Risk of Chinese stock market using...

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Physica A: Statistical Mechanics and its Applications 2018 / 2

Forecasting the Value-at-Risk of Chinese stock market using the HARQ model and extreme value theory

Liu, Guangqiang, Wei, Yu, Chen, Yongfei, Yu, Jiang, Hu, Yang
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Language:
english
Journal:
Physica A: Statistical Mechanics and its Applications
DOI:
10.1016/j.physa.2018.02.033
Date:
February, 2018
File:
PDF, 757 KB
english, 2018
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