Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets

DOI10.1007/S10690-009-9092-6MaRDI QIDQ836967zbMATH OpenOpenAlexFDO

Authors Mike K. P. So, Alex S. L. Tse

Publication date 9 September 2009

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-009-9092-6

zbMATH Keywords

dynamic correlationextreme dependencemultivariate GARCH Modelrisk managementtail dependence coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Estimating the tail-dependence coefficient: properties and pitfalls
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Cited in

(6)

• Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
• Volatility spillovers from the Chinese stock market to economic neighbours
• scientific article; zbMATH DE number 2042812 (Why is no real title available?)
• scientific article; zbMATH DE number 7246952 (Why is no real title available?)
• Application of autoregressive tail-index model to China's stock market
• Dependence values of Asia-Pacific stock markets

Describes a project that uses

Uses Software

• QRM

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