This paper studies the performance of hybrid methods combining normal and non-normal GARCH-type filters with extreme value theory (EVT) in predicting VaRs of four major stock indices in Chinese stock market. Based on the out-of-sample VaR forecasts results over the 24 models considered, we find...

This study aims to investigate the characteristics of the efficient evolution of China's iron and steel industry against the backdrop of limited openness and regulation and to discuss the important effects of regulatory policy and total factor productivity (TFP) of China's iron and steel...