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标题:Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio
时间:2019-11-19 23:11:33
DOI:10.1007/s00500-017-2979-7
作者:Wei-Guo Zhang;Guo-Li Mo;Fang Liu
摘要:To provide accurate value-at-risk (VaR) forecasts for the returns of international stock indices portfolio, this paper proposes a dynamic spatial panel with generalized autoregressive conditional...
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目录:
  • Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio
    • Abstract
    • 1 Introduction
    • 2 Dynamic spatial panel GJR-GARCH model and parameters estimates
      • 2.1 Dynamic spatial panel GJR-GARCH model
      • 2.2 Parameter estimation
    • 3 Forecast VaR by the proposed model
      • 3.1 Portfolio risk analysis
      • 3.2 Portfolio risk calculation
      • 3.3 VaR back-testing
    • 4 Empirical illustrations
      • 4.1 Data description
      • 4.2 Estimation results of the DSP-GJR-GARCH model
      • 4.3 Forecasting the daily volatility of the portfolio returns of six stock indices
      • 4.4 VaR forecasting and back-testing
        • 4.4.1 VaR forecasting based on the four models
        • 4.4.2 Back-testing analysis of VaR
    • 5 Conclusions and research prospect
    • Acknowledgements
    • References

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