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;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
- Tse, Y K & Tsui, Albert K C, 2002. "A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 351-62, July.
- Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 80-100, August.
- Viviana Fernandez, 2006.
"Copula-based measures of dependence structure in assets returns,"
Documentos de Trabajo
228, Centro de Economía Aplicada, Universidad de Chile.
- Fernandez, Viviana, 2008. "Copula-based measures of dependence structure in assets returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3615-3628.
- Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
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