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- W2365610565 abstract "A vast amount of evidence has been accumulated on the existence of week day effect in stock returns. Based on the framework for financial market risk measurement, this paper has carried out a empirical research for the indexes of Shanghai and Shenzhen stock exchange,and it concludes an existence of week day effect. In this paper,I have improved the additional VaR-models, and shown that the week day effect can improve the estimation of VaR considerably." @default.
- W2365610565 created "2016-06-24" @default.
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- W2365610565 date "2004-01-01" @default.
- W2365610565 modified "2023-09-27" @default.
- W2365610565 title "VaR Calculation for Daily Return under Week & Day Effect" @default.
- W2365610565 hasPublicationYear "2004" @default.
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