Volatility modeling based on GARCH-skewed-t-type models for Chinese stock market
As an emerging stock market with enormous potential, Chinese stock market has apparent volatility clustering appearance along with typical feature of leptokurtic, negative skewness and fat tail in its index yield series. The model based on traditional normal distribution often underestimate the risk...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2019
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| Texto completo: | http://hdl.handle.net/10071/18940 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/18940 |