A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model

DOI10.1007/S10479-023-05178-9OpenAlexW4317207817MaRDI QIDQ6148818

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Publication date: 8 February 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-023-05178-9

zbMATH Keywords

risk predictionfinancial marketCOVID-19 pandemiceconomic securityQR-SGED-EGARCH model

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Inference from stochastic processes (62Mxx)

Cites Work

• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• Generalized autoregressive conditional heteroscedasticity
• Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}
• Coherent Measures of Risk
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Regression Quantiles
• Evaluating Value-at-Risk Models via Quantile Regression

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