This paper studies the performance of hybrid methods combining normal and non-normal GARCH-type filters with extreme value theory (EVT) in predicting VaRs of four major stock indices in Chinese stock market. Based on the out-of-sample VaR forecasts results over the 24 models considered, we find...

The persistent downturn in productivity growth during the past two decades has cast doubts on global economic prospects. Frequently cited causes include a dearth of productivity-enhancing ideas, an aging population, and a shift to service-based economies. While we acknowledge the role each of...