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- W2352431601 abstract "The paper makes an empirical study on the inter-bank bond pledged repo market in China from Jan.4,2002 to March 31,2009.The empirical results show that models with t-distribution and g-distribution can better portray the heavy-tailed feature of leptokurtosis of repo interest rate series.The repo interest rate volatility is significantly asymmetric and is bigger when the interest rate rises.ARMA-GARCH model with t-distribution is fit for the estimation of VaR of long position,and ARMA-GARCH model with g-distribution is suitable to measure VaR of short position.It indicates that the interest rate risk in our repo market is higher." @default.
- W2352431601 created "2016-06-24" @default.
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- W2352431601 date "2009-01-01" @default.
- W2352431601 modified "2023-09-23" @default.
- W2352431601 title "Risk Measurement of Pledged Repo Interest Rate:Empirical Study Based on ARMA-GARCH Model" @default.
- W2352431601 hasPublicationYear "2009" @default.
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