Risk measurement of stock markets in BRICS, G7, and G20: Vine copulas versus factor copulas
© 2019 by the authors. Multivariate copulas have been widely used to handle risk in the financial market. This paper aimed to adopt two novel multivariate copulas, Vine copulas and Factor copulas, to measure and compare the financial risks of the emerging economy, developed economy, and global econo...
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| Main Authors: | , , |
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| Format: | Journal |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85063904413&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65700 |
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| Institution: | Chiang Mai University |
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