Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/57159
Title: VaR and tail dependence between the US and Asian stock exchange indices - An EGARCH-copula approach
Authors: Ji Ma
Jiangxu Liu
Songsak Sriboonchitta
Keywords: Computer Science
Issue Date: 1-Jan-2017
Abstract: © 2017 The authors and IOS Press. All rights reserved. This paper uses the eGARCH-Copula model to examine the tail dependence and Value at Risk (VaR) of the log returns of the US and Asian exchange indices as pairs of portfolio in three periods: before, in and after finance crisis. The results indicated that the eGARCH-Copula model works well on measuring the tail dependence and VaR between the US and Asian stock market; and after finance crisis, the dependence structure changed including on tail dependence and VaR.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85034225100&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/57159
ISSN: 09226389
Appears in Collections:CMUL: Journal Articles

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