VaR and Tail Dependence Between the US and Asian Stock Exchange Indices-An EGARCH-Copula Approach

被引：0
|
作者：
Ma, Ji [1 ,2 ]
Liu, Jiangxu [1 ]
Sriboonchitta, Songsak [1 ]
机构：
[1] Chiang Mai Univ, Fac Econ, Chiang Mai, Thailand
[2] Yunnan Acad Social Sci, Kunming, Yunnan, Peoples R China
来源：
FUZZY SYSTEMS AND DATA MINING III (FSDM 2017) | 2017年 / 299卷
关键词：
Portfolio; tail dependence; value at risk; copula; RISK; OIL;
D O I：
10.3233/978-1-61499-828-0-79
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This paper uses the eGARCH-Copula model to examine the tail dependence and Value at Risk (VaR) of the log returns of the US and Asian exchange indices as pairs of portfolio in three periods: before, in and after finance crisis. The results indicated that the eGARCH-Copula model works well on measuring the tail dependence and VaR between the US and Asian stock market; and after finance crisis, the dependence structure changed including on tail dependence and VaR.
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页码：79 / 84
页数：6
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