Risk measurement of global stock markets: A factor copula-based GJR-GARCH approach
© 2019 IOP Publishing Ltd. All rights reserved. Financial crisis in 2008 caused huge loss and one of the accusations is the misprediction of risk measurement. Considering the important role the stock markets play, and the trend of globalization in economy, we propose forecasting Value at Risk of G20...
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| Main Authors: | , , |
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| Format: | Conference Proceeding |
| Published: |
2020
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074945001&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/68093 |
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| Institution: | Chiang Mai University |