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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| Main Authors: | , , , |
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| 格式: | Conference Proceeding |
| 出版: |
2018
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| 主題: | |
| 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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| 機構: | Chiang Mai University |