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Risk Measure of Shibor Based on VAR and EGARCH.
He Qi-zhi
Published in:
CSSE (5) (2008)
Keyphrases
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var model
garch model
stock index futures
stock market
monte carlo method
monte carlo simulation
markov chain
diffusion model
monte carlo
impulse response
economic growth
short term
neural network
bayesian learning
state space
heavy tailed
posterior distribution
economic development
financial markets