Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …-at-risk with a duration-based POT method, and extreme market risk and extreme value theory. …