A study of China's financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
Guanghui Han, Panpan Liu, Yueqiang Zhang and Xiaobo Li
| Year of publication: |
2024
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|---|---|
| Authors: | Han, Guanghui ; Liu, Panpan ; Zhang, Yueqiang ; Li, Xiaobo |
| Subject: | Shanghai Stock Exchange sector index | risk measurement | value-at-risk (VaR);expected shortfall (ES) | generalized autoregressive score model using the asymmetric Laplacedistribution (GAS-ALD model) | rolling estimation | Risikomaß | Risk measure | China | ARCH-Modell | ARCH model | Schätzung | Estimation | Risiko | Risk | Shanghai |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2024.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014556673