A study of China's financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
Year of publication: |
2024
|
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Authors: | Han, Guanghui ; Liu, Panpan ; Zhang, Yueqiang ; Li, Xiaobo |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9587, ZDB-ID 2395282-9. - Vol. 18.2024, 1, p. 83-96
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Subject: | Shanghai Stock Exchange sector index | risk measurement | value-at-risk (VaR);expected shortfall (ES) | generalized autoregressive score model using the asymmetric Laplacedistribution (GAS-ALD model) | rolling estimation | Risikomaß | Risk measure | China | ARCH-Modell | ARCH model | Autokorrelation | Autocorrelation |
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