%0 Journal Article
%T Testing market responses under extreme risks<br>极端风险条件下的市场反应检验
%A XIE Hai-bin
%A CHEN Chong
%A BU Hui
%A WANG Shou-yang
%A <br>谢海滨
%A 陈冲
%A 部慧
%A 汪寿阳
%J 系统工程理论与实践
%D 2011
%I 
%X Voluminous studies have demonstrated theoretically and empirically that psychology plays a very important role in investor's trading behaviors.However,studies investigating market response to extreme risks are still inaccessible to our knowledge.This paper provides a statistical method to testify market response to extreme risks based on value at risk.Empirical results performed on US Dow Jones Industrial Average index demonstrate the market irrational response to extreme risk:at long-horizons,the market te...
%K VaR
%K GARCH
%K extreme risk
%K behavioral finance
%K universal test
%K up-biased test
%K down-biased test<br>VaR
%K GARCH
%K 极端风险
%K 行为金融
%K 全检验
%K 上偏检验
%K 下偏检验
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=D82ECFBB2DA1963CF010F650381E99E7&yid=9377ED8094509821&vid=4AD960B5AD2D111A&iid=E158A972A605785F&sid=7C13E30F5EDBE7AB&eid=04FC77FB58A9B53A&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=15