Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets
| Year of publication: |
2009
|
|---|---|
| Authors: | So, Mike ; Tse, Alex |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 16.2009, 3, p. 183-210
|
| Publisher: |
Springer |
| Subject: | Dynamic correlation | Extreme dependence | Multivariate GARCH Model | Risk management | Tail dependence coefficient |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10004976854