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

• المؤلفون الرئيسيون: Ji Ma, Jiangxu Liu, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85034225100&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/57159

© 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...