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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Bibliographic Details
Main Authors: Ji Ma, Jiangxu Liu, Songsak Sriboonchitta
Format: Book Series
Published: 2018
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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
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