The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments

DOI10.1080/14697688.2020.1812701zbMath1479.91375OpenAlexW3094463191MaRDI QIDQ5014216

Pengcheng Song, Minjoo Kim, Junhong Yang, Yang Zhao

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1812701

zbMATH Keywords

value-at-riskexpected shortfalldependence structureforeign investmentsTVAC model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial markets (91G15)

Uses Software

• CAViaR
• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Making and Evaluating Point Forecasts
• Estimation of copula-based semiparametric time series models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The t Copula and Related Copulas
• On Bayesian Modeling of Fat Tails and Skewness
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE

This page was built for publication: The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments