Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk

DOI10.1016/j.matcom.2008.01.031zbMath1152.91741OpenAlexW2086750400MaRDI QIDQ929674

Bernardo da Veiga, Michael McAleer, Felix T. S. Chan

Publication date: 18 June 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.031

zbMATH Keywords

multivariate conditional volatilityBasel accord penaltiesChina A and B sharesconditional correlationsvalue-at-risk thresholds

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Stationarity and the existence of moments of a family of GARCH processes.
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• A test for volatility spillover with application to exchange rates

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