摘要 : A new APARCH-extreme value theory-dynamic mixture copula (APARCH-EVT-DMC) approach is proposed to investigate the dependence structure and risk spillovers. This method can illuminate the dynamic and complex tail dependence among s... 展开
作者 | Wei~ Zhengyuan He~ Qingxia Zhou~ Qili Wang~ Ge |
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作者单位 | |
期刊名称 | 《Physica, A. Statistical mechanics and its applications》 |
总页数 | 17 |
语种/中图分类号 | en / O4 |
关键词 | Dependence structure Risk spillovers APARCH-EVT Dynamic mixture copula CoVaR MULTIVARIATE GARCH ESTIMATION SYSTEMIC RISK CONTAGION CHANNELS |
馆藏号 | N2008EPST0001416 |