Risk analysis in Asian emerging markets using canonical vine copula and extreme value theory

Risk analysis in Asian emerging markets using canonical vine copula and extreme value theory

© 2014 by the Mathematical Association of Thailand. All rights reserved. Normal distributions are appropriate to describe the behavior of stock market returns only when returns do not exhibit extreme behavior. This study examined extreme value theory (EVT) to capture more precisely the tail distribu...

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書目詳細資料
Main Authors:	Apiwat Ayusuk, Songsak Sriboonchitta
格式:	雜誌
出版:	2018
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907250736&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/45445
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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