The influences of book-to-price ratio and stock capitalization on value-at-risk estimation in Taiwan stock market
Year of publication: |
2020
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Authors: | Wu, Tsung-Che ; Huang, Hung-Hsi ; Wang, Ching-Ping ; Zhong, Yi-Lin |
Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 5, p. 1055-1072
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Subject: | book-to-price ratio | EVT | GARCH | stock capitalization | value-at-risk | Risikomaß | Risk measure | Taiwan | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Börsenkurs | Share price | Kapitaleinkommen | Capital income |
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