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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| 格式: | 雜誌 |
| 出版: |
2018
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| 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 |
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| 機構: | Chiang Mai University |