Liu, Xiangli; Cheng, Siwei; Wang, Shouyang; Hong, Yongmiao - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 4, pp. 899-914
This study employs a parametric approach based on TGARCH and GARCH models to estimate the VaR of the copper futures market and spot market in China. Considering the short selling mechanism in the futures market, the paper introduces two new notions: upside VaR and extreme upside risk spillover....