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- W2351668107 abstract "The standard residuals series is constructed by using ARMA-GJR model,and use of EVT theory to determine the sample threshold,finally a new g-h distribution of financial risk measurement model is established based on the ARMA-GJR-EVT-g-h VaR model.Empirical analysis of the Shanghai Composite Index is done with the model,the results show that the model can be more reasonable and effective measure of SSE Composite Index return of risk." @default.
- W2351668107 created "2016-06-24" @default.
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- W2351668107 date "2012-01-01" @default.
- W2351668107 modified "2023-09-24" @default.
- W2351668107 title "Study on Extreme Risk Measurement Based on g-h Distribution" @default.
- W2351668107 hasPublicationYear "2012" @default.
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