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Price Risk Measurement of China's Soybean Futures Market Based on the VAR-GJR-GARCH Model.
Chuan-hui Wang
Li-ping Wang
Wei-feng Gong
Hai-xia Zhang
Xia Liu
Published in:
Complex. (2021)
Keyphrases
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garch model
var model
stock market
futures market
investment strategies
multivariate time series
stock exchange
short run
sar images
stock price
portfolio optimization
financial data
heavy tailed
financial markets
short term
long run
portfolio management
feature space
risk management