Value-at-risk forecasting of Chinese stock index and index future under jumps, permanent component, and asymmetric information
Shaoyu Li, Lijia Wei and Zehua Huang
| Year of publication: |
2016
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| Authors: | Li, Shaoyu ; Wei, Lijia ; Huang, Zehua |
| Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 52.2016, 4/6, p. 1072-1091
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| Subject: | asymmetric information | jump | permanent component | value-at-risk | Asymmetrische Information | Asymmetric information | Risikomaß | Risk measure | Aktienindex | Stock index | Index-Futures | Index futures | China | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2016.1142218 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011563272