Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets
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References listed on IDEAS
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- Allen, David E. & Amram, Ron & McAleer, Michael, 2013.
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- Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
More about this item
KeywordsDynamic correlation; Extreme dependence; Multivariate GARCH Model; Risk management; Tail dependence coefficient;
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