Volatility and dependence for systemic risk measurement of the international financial system

Volatility and dependence for systemic risk measurement of the international financial system

© Springer International Publishing Switzerland 2015. In the context of existing downside correlations, we proposed multi-dimensional elliptical and asymmetric copula with CES models to measure the dependence of G7 stock market returns and forecast their systemic risk. Our analysis firstly used seve...

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書目詳細資料
Main Authors:	Jianxu Liu, Songsak Sriboonchitta, Panisara Phochanachan, Jiechen Tang
格式:	Conference Proceeding
出版:	2018
主題:	Agricultural and Biological Sciences
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84958543998&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44593
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