Tail risk in the Chinese stock market : an AEV model on the maximal drawdowns
Yun Feng, Weijie Hou, Yuping Song
| Year of publication: |
2023
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|---|---|
| Authors: | Feng, Yun ; Hou, Weijie ; Song, Yuping |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 1, p. 1-9
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| Subject: | Forecasting | Maximal drawdowns | Stock market | Value-at-risk | Aktienmarkt | China | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Schätzung | Estimation |