Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk.
Bernardo da VeigaFelix ChanMichael McAleerPublished in: Math. Comput. Simul. (2008)
Keyphrases
- exchange rate
- garch model
- financial time series
- financial crisis
- early warning
- stock market
- grey model
- risk management
- data transmission
- risk assessment
- stock index futures
- short term
- foreign exchange
- forecasting model
- financial data
- investment decisions
- stock price
- portfolio optimization
- multivariate time series
- high risk
- risk averse
- risk measures
- option pricing
- financial markets
- random field model
- spatial correlation
- stock trading
- sar images
- conditional probabilities