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

DOI10.1007/S10690-009-9092-6zbMath1188.91238OpenAlexW2047182687MaRDI QIDQ836967

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

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

risk managementtail dependence coefficientdynamic correlationextreme dependencemultivariate GARCH Model

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)

Related Items (2)

Volatility spillovers from the Chinese stock market to economic neighbours ⋮ Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management

Uses Software

• QRM

Cites Work

• Estimating the tail-dependence coefficient: properties and pitfalls
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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