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Traditional VaR method has many defects in measuring portfolio risk, this paper modifies BDSS model and gets revised BDSS model -- La-VaR model based on relative price. For fitting the sequences of the rate of return and relative price, this paper adopts Gaussian-kernel function with good smoothness and Copula-kernel model to portray marginal distribution and correlation structure. Afterwards sequence...
With the rapid development of global financial markets, the volatility of these markets is further exacerbated. Under the influence of global finance, the volatility of China's stock market increased. Investors have to suffer more risks by the growing volatility. A good way to measure the risk is quite necessary. In this paper we selected mainland China, Hong Kong, Taiwan's stock index return rates...
In this paper, we choose consecutive month contract of natural rubber in China futures market for the study. Based on the GARCH class model, we combine the wavelet analysis with extreme value theory to get the approximate distribution of time series and then use rolling time window to predict dynamic value at risk. The empirical results show that the models all have good predictive ability, and the...
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