Managing financial risk in Chinese stock markets : option pricing and modeling under a multivariate threshold autoregression
Johnny Siu-Hang Li, Andrew C.Y. Ng, Wai-Sum Chan
| Year of publication: |
November 2015
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|---|---|
| Authors: | Li, Johnny Siu-Hang ; Ng, Andrew C.Y. ; Chan, Wai-Sum |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 40.2015, p. 217-230
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| Subject: | Threshold autoregression | Risk-neutral valuation | Multivariate time-series | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | Autokorrelation | Autocorrelation | China | Aktienmarkt | Stock market | Derivat | Derivative | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.02.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011573584