VaR and tail dependence between the US and Asian stock exchange indices - An EGARCH-copula approach

© 2017 The authors and IOS Press. All rights reserved. This paper uses the eGARCH-Copula model to examine the tail dependence and Value at Risk (VaR) of the log returns of the US and Asian exchange indices as pairs of portfolio in three periods: before, in and after finance crisis. The results indic...

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Main Authors:	Ji Ma, Jiangxu Liu, Songsak Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Computer Science
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85034225100&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57159
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-57159
record_format	dspace
spelling	th-cmuir.6653943832-571592018-09-05T03:35:39Z VaR and tail dependence between the US and Asian stock exchange indices - An EGARCH-copula approach Ji Ma Jiangxu Liu Songsak Sriboonchitta Computer Science © 2017 The authors and IOS Press. All rights reserved. This paper uses the eGARCH-Copula model to examine the tail dependence and Value at Risk (VaR) of the log returns of the US and Asian exchange indices as pairs of portfolio in three periods: before, in and after finance crisis. The results indicated that the eGARCH-Copula model works well on measuring the tail dependence and VaR between the US and Asian stock market; and after finance crisis, the dependence structure changed including on tail dependence and VaR. 2018-09-05T03:35:39Z 2018-09-05T03:35:39Z 2017-01-01 Book Series 09226389 2-s2.0-85034225100 10.3233/978-1-61499-828-0-79 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85034225100&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57159
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science
spellingShingle	Computer Science Ji Ma Jiangxu Liu Songsak Sriboonchitta VaR and tail dependence between the US and Asian stock exchange indices - An EGARCH-copula approach
description	© 2017 The authors and IOS Press. All rights reserved. This paper uses the eGARCH-Copula model to examine the tail dependence and Value at Risk (VaR) of the log returns of the US and Asian exchange indices as pairs of portfolio in three periods: before, in and after finance crisis. The results indicated that the eGARCH-Copula model works well on measuring the tail dependence and VaR between the US and Asian stock market; and after finance crisis, the dependence structure changed including on tail dependence and VaR.
format	Book Series
author	Ji Ma Jiangxu Liu Songsak Sriboonchitta
author_facet	Ji Ma Jiangxu Liu Songsak Sriboonchitta
author_sort	Ji Ma
title	VaR and tail dependence between the US and Asian stock exchange indices - An EGARCH-copula approach
title_short	VaR and tail dependence between the US and Asian stock exchange indices - An EGARCH-copula approach
title_full	VaR and tail dependence between the US and Asian stock exchange indices - An EGARCH-copula approach
title_fullStr	VaR and tail dependence between the US and Asian stock exchange indices - An EGARCH-copula approach
title_full_unstemmed	VaR and tail dependence between the US and Asian stock exchange indices - An EGARCH-copula approach
title_sort	var and tail dependence between the us and asian stock exchange indices - an egarch-copula approach
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85034225100&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57159
_version_	1681424826668941312

VaR and tail dependence between the US and Asian stock exchange indices - An EGARCH-copula approach

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