Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets (Q836967)
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scientific article; zbMATH DE number 5602568
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| English | Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets |
scientific article; zbMATH DE number 5602568 |
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Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets (English)
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9 September 2009
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dynamic correlation
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extreme dependence
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multivariate GARCH Model
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risk management
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tail dependence coefficient
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0.7775198221206665
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0.7744755148887634
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0.7620469331741333
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