Risk measurement of global stock markets: A factor copula-based GJR-GARCH approach

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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書目詳細資料
Main Authors:	Quanrui Song, Jianxu Liu, Songsak Sriboonchitta
格式:	Conference Proceeding
出版:	2020
主題:	Physics and Astronomy
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074945001&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/68093
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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