The meaning of structural breaks for risk management: new evidence, mechanisms, and innovative views for the post-COVID-19 era

The meaning of structural breaks for risk management: new evidence, mechanisms, and innovative views for the post-COVID-19 era

This paper quantitatively reveals the meaning of structural breaks for risk management by analyzing US and major European banking sector stocks. Applying newly extended Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity models, we supply the following new evidence....

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Bibliographic Details
Main Author: Chikashi Tsuji
Format: Article
Language:English
Published: AIMS Press 2022-05-01
Series:Quantitative Finance and Economics
Subjects:
artificial intelligence
covid-19
news impact curve
risk management
structural break
volatility
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2022012?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2022012?viewType=HTML

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