Assessing the Performance of Parametric, Non-Parametric
and Semi-Parametric Value-at-Risk Models Applied to the
Chinese Stock Market

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Assessing the Performance of Parametric, Non-Parametric and Semi-Parametric Value-at-Risk Models Applied to the Chinese Stock Market

In this paper, parametric, nonparametric, and semiparametric models are applied to a hypothetical portfolio consisting a single asset-Shanghai Stock Index 180, to assess their performance in the Chinese stock market. Some stylized facts and features of stock returns have been documented by many empi...

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Bibliographic Details
Main Author:	PENG, BO
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2006
Subjects:	Value at risk VaR GARCH Historical simulation
Online Access:	https://eprints.nottingham.ac.uk/20211/

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