Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk (Q929674)
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scientific article; zbMATH DE number 5290602
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk |
scientific article; zbMATH DE number 5290602 |
Statements
Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk (English)
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18 June 2008
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China A and B shares
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value-at-risk thresholds
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Basel accord penalties
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multivariate conditional volatility
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conditional correlations
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