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dc.contributor.authorPanisara Phochanachanen_US
dc.contributor.authorJianxu Liuen_US
dc.contributor.authorSongsak Sriboonchittaen_US
dc.description.abstract© 2016 by the Mathematical Association of Thailand. All rights reserved. This paper proposes to use the concept of time-varying copulas in probability theory as an appropriate mathematical modeling tool for investigating an important problem in economics, namely the co-movement of stock markets as well as optimal portfolio constructions on them. In the sense of expected shortfall, a coherent risk measure widely used in risk management of financial markets, we show that our time-varying copula models for GARCH perform better than the conventional DCC-GARCH model. We exhibit also various advantages of this approach in investment decisions. An application to G7 stock markets is given.en_US
dc.titleOn mathematical modeling and analysis of co-movement and optimal portfolios of stock marketsen_US
article.title.sourcetitleThai Journal of Mathematicsen_US
article.volume14en_US of Phayaoen_US Mai Universityen_US
Appears in Collections:CMUL: Journal Articles

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