Measuring the risk of institutional change in European financial markets
Abstract
Using a quantile function-based time series model, this paper illustrates a risk measurement to characterise the effects of institutional changes in major European financial markets. The paper presents examples based on major market indices to further address the influences behind the establishment of the European Central Bank. As this model allows more flexibility than classic generalised autoregressive conditionally heteroskedastic (GARCH) models, its validity and robustness are analysed theoretically and illustrated empirically through comparisons with multivariate GARCH models.
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Author's Biography
Wenjiang Jiang is Professor of Financial Mathematics and Mathematical Statistics at Yunnan Normal University. He holds a PhD in mathematical finance from Aarhus University, Denmark. He also has a bachelor of science degree in mathematics and a master of science degree in statistics from Peking Normal University, China. Dr Jiang’s research interest includes stochastic models in finance, financial asset pricing, value-at-risk type models, computational stochastic methods, estimation via simulation in complex models, and heavy-tailed distributions and their applications.
Zhenyu Wu is an associate professor of finance in the Edwards School of Business at the University of Saskatchewan, Canada. He holds a PhD in finance, and his research focuses on risk management, agency theory in entrepreneurial finance, and corporate governance.
Citation
Jiang, Wenjiang and Wu, Zhenyu (2009, September 1). Measuring the risk of institutional change in European financial markets. In the Journal of Risk Management in Financial Institutions, Volume 2, Issue 4. https://doi.org/10.69554/LRDU5668.
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