Research on the value at risk of basis for stock index futures hedging in China based on two-state Markov process and semiparametric RS-GARCH model

DOI10.1155/2019/8904162zbMath1453.91110OpenAlexW2946860213WikidataQ127751823 ScholiaQ127751823MaRDI QIDQ2296591

Longhao Qin, Liang Wang, Chenge Liu, Tingjia Xu

Publication date: 18 February 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/8904162

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• The \(L^2\)-structures of standard and switching-regime GARCH models
• Markov-Switching GARCH Modelling of Value-at-Risk
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

This page was built for publication: Research on the value at risk of basis for stock index futures hedging in China based on two-state Markov process and semiparametric RS-GARCH model