An Evaluation of Value at Risk Models in Chinese Stock Market
The aim of this article is to examine the predictive performance of VaR model in Chinese stock market and try to find the rational choice of models for China. In order to achieve this goal, Historical simulation approach, Bootstrapped HS, Hull White method, parametric approach with volatility adjust...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
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| Online Access: | https://eprints.nottingham.ac.uk/26670/ |