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

• Main Authors: Jianxu Liu, Songsak Sriboonchitta, Panisara Phochanachan, Jiechen Tang
• Format: Conference Proceeding
• Published: 2018
• Subjects: Agricultural and Biological Sciences
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84958543998&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/44593
• Institution: Chiang Mai University

© 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...