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

Pacific Basin Finance Journal

Volumn 16, Issue 4, 2008, Pages 453-475

  da Veiga, Bernardo ^a   Chan, Felix ^b   McAleer, Michael ^a  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^b CURTIN UNIVERSITY   (Australia)

Author keywords

Chinese A and B shares; Chinese stock markets; Dynamic conditional correlation; Market reform; Value at Risk; VaR

Indexed keywords

EID: 44649160196     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2007.08.001     Document Type: Article

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