Quantile regression based risk measurement in the Chinese stock markets

Zhongguo Kuangye Daxue Xuebao/Journal of China University of Mining and Technology

Volumn 37, Issue 3, 2008, Pages 416-421

  Wang, Xin Yu ^a   Zhao, Shao Juan ^a  

^a CHINA UNIVERSITY OF MINING AND TECHNOLOGY   (China)

Author keywords

Quantile regression; Risk measurement; Value at risk; Week effect

Indexed keywords

FORECASTING; MATHEMATICAL MODELS; REGRESSION ANALYSIS; RISK ANALYSIS; RISK MANAGEMENT;

CHINESE STOCK MARKETS; QUANTILE REGRESSION; RISK MEASUREMENT; VALUE AT RISK; WEEK EFFECT;

FINANCIAL DATA PROCESSING;

EID: 45449097697     PISSN: 10001964     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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