Modelling the spreading process of extreme risks via a simple agent-based model : evidence from the China stock market
Jingru Ji, Donghua Wang, Dinghai Xu
| Year of publication: |
2019
|
|---|---|
| Authors: | Ji, Jingru ; Wang, Donghua ; Xu, Dinghai |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 80.2019, p. 383-391
|
| Subject: | Agent-based model | Extreme risk | Method of simulated moments | Value-at-Risk | Agentenbasierte Modellierung | Agent-based modeling | China | Risikomaß | Risk measure | Simulation | Aktienmarkt | Stock market | Risikomanagement | Risk management | Risiko | Risk | Volatilität | Volatility | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2018.11.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012200735