Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index
Chunchou Wu
| Year of publication: |
April 2018
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|---|---|
| Authors: | Wu, Chunchou |
| Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 8.2018, 6, p. 1179-1187
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| Subject: | VaR | CARR | GARCH | Volatility Forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Schätztheorie | Estimation theory | Schätzung | Estimation | Börsenkurs | Share price | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/tel.2018.86078 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011888169