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...

There exist dual-listed stocks which are issued by the same company in some stock markets. Although these stocks bare the same firm-specific risk and enjoy identical dividends and voting policies, they are priced differently. Some previous studies show this seeming deviation from the law of one...