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dc.contributor.authorRoengchai Tansuchaten_US
dc.contributor.authorWoraphon Yamakaen_US
dc.contributor.authorKritsana Khemawanien_US
dc.contributor.authorSongsak Sriboonchittaen_US
dc.description.abstract© Springer International Publishing AG 2017. In this paper, seven stock markets from six countries (Thailand, Malaysia, Indonesia, Vietnam, the Philippines, and Singapore) and their risk contribution to ASEAN stock system are investigated using the Component Expected Shortfall approach. Prior to computing this systemic risk measure, we need to compute a dynamic correlation, thus the study proposes a Markov Switching copula with time varying parameter to measure the dynamic correlation between each pair of stock market index and ASEAN stock system. The empirical results show that Philippines stock index contributed the highest risk to the ASEAN stock system.en_US
dc.subjectComputer Scienceen_US
dc.titleAnalyzing the contribution of ASEAN stock markets to systemic risken_US
dc.typeBook Seriesen_US
article.title.sourcetitleStudies in Computational Intelligenceen_US
article.volume692en_US Mai Universityen_US
Appears in Collections:CMUL: Journal Articles

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