Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 16 (2009)
Issue (Month): 3 (September)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Dynamic correlation; Extreme dependence; Multivariate GARCH Model; Risk management; Tail dependence coefficient;
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