An Evaluation of Value at Risk Models in Chinese Stock Market

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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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Bibliographic Details
Main Author:	Xiao, Ying
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2013
Online Access:	https://eprints.nottingham.ac.uk/26670/

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