Nonparametric Estimation of Value-at-Risk of Chinese Stock Market
Cheng Qiansheng · Acta Scicentiarum Naturalum Universitis Pekinesis · 2004
Continues\|time finance model are discussed and modified for the purpose of estimating value\|at\|risk.Kernel method are applied to estimate price density and VaR of Shanghai Stock Index VaR.Comparing with VaR estimated from Black\|Scholes geometric Brownian Motion hypothesis,the modified model is better.