Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares

Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares

This paper analyses the time-varying conditional correlations between Chinese A and B share returns using the Dynamic Conditional Correlation (DCC) model of Engle [Engle, R.F. (2002), "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteros...

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Bibliographic Details
Main Authors: Da Veiga, Bernardo, Chan, Felix, McAleer, M.
Format: Journal Article
Published: Elsevier BV 2008
Subjects:
VaR
Chinese stock markets
Value-at-Risk
Dynamic conditional correlation
China A and B shares
Market reform
Online Access:http://hdl.handle.net/20.500.11937/32080

Internet

http://hdl.handle.net/20.500.11937/32080

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