The Extreme-Value Dependence Between the Chinese and Other International Stock Markets
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Other versions of this item:
- Qian Chen & David E. Giles & Hui Feng, 2012. "The extreme-value dependence between the Chinese and other international stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1147-1160, July.
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- Ye, Wuyi & Luo, Kebing & Liu, Xiaoquan, 2017. "Time-varying quantile association regression model with applications to financial contagion and VaR," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1015-1028.
- Chen, Qian & Lv, Xin, 2015. "The extreme-value dependence between the crude oil price and Chinese stock markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 121-132.
More about this item
KeywordsExtreme value analysis; peaks-over-threshold; value at risk; expected shortfall; asymptotic dependence; Chinese equity market;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-18 (All new papers)
- NEP-RMG-2010-12-18 (Risk Management)
- NEP-SEA-2010-12-18 (South East Asia)
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