Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Shijia Song, Handong Li
| Year of publication: |
2022
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|---|---|
| Authors: | Song, Shijia ; Li, Handong |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 82.2022, p. 1-20
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| Subject: | Dynamic conditional score | Intraday return | Normal inverse Gaussian | Realized GARCH | Value-at-risk | ARCH-Modell | ARCH model | China | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Kapitaleinkommen | Capital income | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102180 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013426497