Sequential forecasting of downside extreme risk during overnight and daytime : evidence from the Chinese Stock Market
Zhihong Jian, Xupei Li, Zhican Zhu
| Year of publication: |
2020
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|---|---|
| Authors: | Jian, Zhihong ; Li, Xupei ; Zhu, Zhican |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 64.2020, p. 1-14
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| Subject: | Daytime risk | Expected shortfall | Overnight risk | Sequential modeling | Value-at-risk | Risikomaß | Risk measure | China | Risikomanagement | Risk management | Risiko | Risk | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2020.101454 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012493928