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~isPartOf:"Mathematics and Computers in Simulation (MATCOM)"
~language:"dan"
~language:"mul"
~language:"ron"
~language:"und"
~person:"Chan, Felix"
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Basel accord penalties
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China A and B shares
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Multivariate conditional volatility
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Value-at-risk thresholds
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Chan, Felix
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Modelling the volatility transmission and conditional correlations between A and B shares in forecasting
value
-at-risk
da Veiga, Bernardo
;
Chan, Felix
;
McAleer, Michael
- In:
Mathematics and Computers in Simulation (MATCOM)
78
(
2008
)
2
,
pp. 155-171
when estimating
value
-at-risk (VaR) thresholds is analysed. The results suggest that accommodating the B share market …
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