Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk

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Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk

The aim of this paper is to investigate the effect of the Chinese B share market reform on the conditional correlation and information transmission between A and B Shares issued in the Shanghai and Shenzen stock exchanges. Daily returns for the Shanghai A share index (SHA), Shanghai B share index (S...

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Bibliographic Details
Main Authors:	Da Veiga, Bernardo, Chan, Felix, Mcaleer, M.
Format:	Journal Article
Published:	Elsevier Science 2008
Subjects:	Multivariate conditional volatility Conditional correlations Basel accord penalties Value-at-risk thresholds China A and B shares
Online Access:	http://hdl.handle.net/20.500.11937/6249

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