VaR and Tail Dependence Between the US and Asian Stock Exchange Indices - An EGARCH-Copula Approach.
Ji MaJiangxu LiuSongsak SriboonchittaPublished in: FSDM (2017)
Keyphrases
- stock exchange
- var model
- stock index futures
- stock market
- stock index
- dependence structure
- investment strategies
- stock price
- monte carlo simulation
- financial markets
- stock trading
- dow jones
- financial data
- short term
- transaction costs
- financial time series
- portfolio optimization
- impulse response
- marginal distributions
- black scholes
- chinese stock market
- heavy tailed
- garch model
- long term
- neural network
- information retrieval
- trading systems
- exchange rate
- co occurrence
- knowledge discovery